Beruflich Dokumente
Kultur Dokumente
Lecture 13
OBSERVER
KALMAN FILTER
IDENTIFICATION
(OKID)
13–1
Chapter13:OBSERVERKALMANFILTERIDENTIFICATION(OKID)13–2
A1: Simply stated, it augments the input with the output data. And in the process the observer
gain G turns out to be the well-known steady-state Kalman filter gain K, if the output residual
error (to be discussed later on) is white, zero-mean and and Gaussian.
A2: The Kalman filter gain K can be computed from the input and output data if their noise
characteristics, namely, the input noise and output noise covariances are determnined. In
practice they may be difficult to obtain. Hence, OKID provides in an indirect way the steady-
state kalman filter gain.
Q3: What restrictions, if any, are imposed on the OKID-determined Kalman filter gain?
A3: The data length must be sufficiently long and the order of observer is sufficiently largeso
that the truncation error is negligible.
13–2
13–3
⇓
x(k + 1) = Ax(k) + G{C x(k) + Du(k)} + {Bu(k) − Gy(k)}
⇓
x(k + 1) = Ax(k) + G{C x(k) + Du(k)} + {Bu(k) − Gy(k)}
⇓
! "
u(k)
x(k + 1) = (A + GC) x(k) + [ B + G D, G ]
y(k)
⇓
x(k + 1) = Ā x(k) + B̄ v(k)
! "
u(k)
Ā = (A + C G), B̄ = [ B + G D, G ], v(k) =
y(k)
(13.1)
13–3
Chapter13:OBSERVERKALMANFILTERIDENTIFICATION(OKID)13–4
Step 2: Determine the impulse response function for the altered model system, viz., for input v
and the same output y. This is done as follows by constructing the input-output matrix expressed
as
y(m, !) = Ȳ( m, (m + r ) p + r ) ∗ V( (m + r ) p + r, !)
u(0) u(1) u(2) ... u( p) ... u(! − 1)
v(0) v(1) ... v( p − 1) ... v(! − 2)
V= v(0) ... v( p − 2) ... v(! − 3)
... . ... .
v(0) ... v(! − p − 1)
where it is assumed that C Āk B̄ ≈ 0 for k ≥ p.
13–4
13–5
Step 3: Obtain the modified impulse response function via a least-squares solver
Ȳk consists of
Ȳ0 = D
k−1
Ȳk = CĀ B̄ (13.5)
= [ C(A + GC)k−1 (B + G D) −C(A + GC)k−1 G ]
) (1) (2) *
= Ȳk − Ȳk , k = 1, 2, 3, ...
13–5
Chapter13:OBSERVERKALMANFILTERIDENTIFICATION(OKID) 13–6
Step 4: Obtain the original Markov parameters or the original Hankel matrix
Y1 = C B of the original system can be obtained from
(1) (2)
Y1 = C B = C(B + G D) − (C G)D = Ȳ1 − Ȳ1 D (13.6)
(1)
Ȳ2 = C(A + GC)(B + G D)
= C AB + C GC B + C(A + GC)G D
(2) (2)
= Y2 + Ȳ1 Y1 + Ȳ2 D (13.7)
⇓
(1) (2) (2)
Y2 = C AB = Ȳ2 − Ȳ1 Y1 − Ȳ2 D
D = Y0 = Ȳ0
+
k
(2)
Yk = Y(1)
k − Ȳi Yk−i , for k = 1, 2, ..., p
i=1
(13.8)
p
+ (2)
Yk = − Ȳi Yk−i , for k = ( p + 1), ..., ∞.
i=1
13–6
13–7
Step 4: Obtain the original Markov parameters or the original Hankel matrix - cont’d
Rearrange(13.8)intheformof
(2)
Ȳ H=Y
(2) ) (2) (2) (2) *
Ȳ = −Ȳ p −Ȳ p−1 ... −Ȳ1
Y2 Y3 Y4 ... Y N +1
(13.9)
Y Y4 Y5 ... Y N +2
H= 3
. . . ... .
Y p+1 Y p+2 Y p+3 ... Y N + p
Y = [ Y p+2 Y p+3 Y p+4 ... Y N + p+1 ]
13–7
Chapter13:OBSERVERKALMANFILTERIDENTIFICATION(OKID) 13–8
Step 4: Obtain the original Markov parameters or the original Hankel matrix - cont’d
13–8
13–9
Then we find
Y10 = C G = Ȳ1(2)
Y20 = Ȳ1(2) − Ȳ1(2) Y10
⇓
Y10 = Ȳ1(2)
(13.13)
+
k−1
Yk0 = Ȳk(2) − Ȳi(2) Yk−i
0
for k = 2, 3, ..., p
i=1
p
+
Yk0 = − Ȳi(2) Yk−i
0
for k = p + 1, p + 2, ..., ∞
i=1
13–9
Chapter13:OBSERVERKALMANFILTERIDENTIFICATION(OKID)
13–10
13–11
13–11