Stochastic Models, Estimation and Control

Peter S. Maybeck

Volumes 1, 2 & 3 Tables of Contents

Navtech Part #s Volume 1 #1277 Volume 2 #1278 Volume 3 #1279 3 Volume Set #1280 Volume 1 Preface Contents of Other Volumes Notation Chapter 1 Introduction 1.1 1.2 1.3 1.4 1.5 1.6 Why Stochastic Models, Estimation, and Control? Overview of the Text The Kalman Filter: An Introduction to Concepts Basic Assumptions A Simple Example A Preview General References Appendix and Problems References 1 3 3 7 9 15 15 16 23

xi xv xvii

Chapter 2 Deterministic system models 2.1 2.2 2.3 2.4 2.5 2.6 Introduction Continuous-Time Dynamic Models Solutions to State Differential Equations Discrete-Time Measurements Controllability and Observability Summary References Problems 25 25 37 42 43 48 48 49

Chapter 3 Probability theory and static models 3.1 3.2 3.3 3.4 Introduction Probability and Random Variables Probability Distributions and Densities Conditional Probability and Densities 59 60 70 76

3.5 3.6 3.7 3.8 3.9 3.10 3.11 3.12

Functions of Random Variables Expectation and Moments of Random Variables Conditional Expectations Characteristic Functions Gaussian Random Vectors Linear Operations on Gaussian Random Variables Estimation with Static Linear Gaussian System Models Summary References problems

84 88 95 99 101 111 114 122 122 123

Chapter 4 Stochastic processes and linear dynamic system models 4.1 4.2 4.3 4.4 4.5 4.6 4.7 4.8 4.9 4.10 4.11 4.17 4.13 4.14 Introduction Stochastic Processes Stationary Stochastic Processes and Power Spectral Density System Modeling: Objectives and Directions Foundations: White Gaussian Noise and Brownie, Motion Stochastic Integrals Stochastic Differentials Linear Stochastic Differential Equations Linear Stochastic Difference Equations The Overall System Model Shaping Filters and State Augmentation Power Spectrum Concepts and Shaping Filters 186 Generating Practical System Models 190 Summary 194 References 195 Problems 195 133 133 139 145 147 156 162 163 170 174 180

Chapter 5 Optimal filtering with linear system models 5.1 5.2 5.3 5.4 5.5 5.6 5.7 5.8 5.9 5.10 5.11 5.12 5.13 Introduction 203 Problem Formulation 203 The Discrete-Time (Sampled Data) Optimal Estimator: The Kalman Filter 206 Statistics of Processes within the Filter Structure 226 Other Criteria of Optimality, 231 Covariance Measurement Update Computations 736 Inverse Covariance Form 238 Stability 742 Correlation of Dynamic Driving Noise end Measurement Noise Time-Correlated Measurement Noise: Perfect Measurements Continuous-Time Filter 257 Wiener Filtering and Frequency Domain Techniques 267 Summary 275 References 276 problems 279

246 248

Chapter 6 Design and performance analysis of Kalman filters 6.1 Introduction 289 6.2 The Requisite of Engineering Judgment 289 6.3 Application of Kalman Filtering to Inertial Navigation Systems 29I 6.4 INS Aided by Position Data: A Simple Example 297 6.5 Doppler-Aided INS 305 6.6 INS Calibration and Alignment Using Direct Kalman Filter317 6.7 Generating Allemative Designs 322 6.8 Performance (Sensitivity) Analysis 325 6.9 Systematic Design Procedure 341 6.10 INS Aided by Navigation Satellites 342 6.11 Practical Aspects of Implementation 351 6.12 Summary 358 References 359 Problems 362 Chapter 7 Square root filtering 7.1 7.2 7.3 7.4 7.5 7.6 7.7 7.8 7.9 Introduction Matrix Square Roots Covariance Square Root Filter for Qa 0 Vector-Valued Measurements Covariance Square Root Filter for Q~ IE 0 Inverse Covariance Square Raw Filter U-D Covariance Factorization Filter Filter Performance and Requirements Summary References Problems 368 370 373 374 377 388 392 399 405 405 406 411

Index

Volume 2 Chapter 8 Optimal smoothing 8.1 8.2 8.3 8.4 8.5 8.6 8.7 Introduction Basic Structure Three Classes of Smoothing Problems Fixed-Interval Smoothing Fixed-Point Smoothing Faced-Lag Smoothing Summary References Problems 1 2 3 5 15 16 17 18 19

Chapter 9 Compensation of linear model inadequacies 9.1 9.2 9.3 9.4 9.5 9.6 Introduction 23 Pseudonoise Addition and Artificial Lower Bounding of P 24 Limiting Effective Filter Memory and Overweighting Most Recent Data 28 Finite Memory Filtering 33 Linearized and Extended Kalman Filters 39 Summary 59 References 59 Problems 62

Chapter 10 Parameter uncertainties and adaptive estimation 10.1 10.2 10.3 10.4 10.5 10.6 10.7 10.9 10.9 10.10 10.11 Introduction 68 Problem Formulation 70 Uncertainties in and Bd: Likelihood Equations 74 Uncertainties in and Bd: Full-Scale Estimator 80 Uncertainties in and Bd: Performance Analysis 96 Uncertainties in and Bd: Attaining Online Applicability Uncertainties in Qa and R Bayesian and Multiple Model Filtering Algorithms Correlation Methods for Self-Tuning: Residual Whitening Covariance Matching and Other Techniques 141 Summary 143 References 144 Problems 151

101 120 129 136

Chapter 11 Nonlinear stochastic system models 11.1 11.2 11.3 11.4 11.5 11.6 11.7 Introduction Extensions of Linear System Modeling Markov Process Fundamentals It Stochastic Integrals and Differentials It Stochastic Differential Equations Forward Kolmogorov Equation Summary, References Problems 159 160 167 175 181 192 202 202 205

Chapter 12 Nonlinear estimation 12.1 12.2 12.3 12.4 12.5 12.6 Introduction Nonlinear Filtering with Discrete-Time Measurements Conceptually Conditional Moment Estimator, Conditional Quasi-Moments and Hermite Polynomial Series Conditional Mode Estimator Statistically Linearized Filter 212 213 215 239 241 243

12.7 12.8

Nonlinear Filtering with Continuous-Time Measurements Summary References Problems

Index

245 257 259 265 273

Volume 3 Chapter 13 Dynamic programming and stochastic control 13.1 13.2 13.3 13.4 13.5 13.6 13.7 Introduction 1 Basic Problem Formulation Introduction to Concepts. Overview of Simple LQG Problem 9 The Backward Kolmogrov Equation 20 Optimal Stochastic Control with Perfect Knowledge of the State Optimal Stochastic Control with Noise-Corrupted Measurements Summary 58 Reference 60 Problems 62

24 45

Chapter 14 Linear stochastic controller design and performance analysis 14.1 14.2 14.3 14.4 14.5 14.6 14.7 14.8 14.9 14.10 14.11 14.12 14.13 14.14 Introduction 68 The LQG Stochastic Regulator 69 Stability 82 Stability of LQG Regulators 91 Stability Robustness of LQG Regulators 102 The LQG Synthesis of Trackers 114 Nonzero Setpoint Controllers 122 Rejection of Time Correlated Disturbances 126 the LQG Synthesis of PI Controllers 132 Command Generator Tracking 151 Performance Evaluation of Linear Sampled Data Controllers 166 Systematic Design Procedure 175 The LQG Controller for Continuous Time Measurements184 Summary 190 References 193 Problems 202

Chapter 15 Nonlinear stochastic controllers 15.1 15.2 15.3 Introduction 223 Basic Problem Formulation and Controller Characteristics 223 Linear Perturbation Control Laws for Nonlinear System, Direct Application of LQG Synthesis 230

15.4 15.5 15 6 15.7 15.8

Assumed Certainty Equivalence Design Closed Loop Law Approximations and Dual Effect Stochastic Adaptive Control Design Philosophy Summary and Perspective References Problems

241 245 247 256 257 260 266 271

INDEX

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