Regularized adaptive Kalman filter for non-persistently excited systems
Rodrigo Marco V, Kalkkuhl JC, Raisch J, Seel T (2022)
Publication Type: Journal article
Publication year: 2022
Journal
Book Volume: 138
Article Number: 110147
DOI: 10.1016/j.automatica.2021.110147
Abstract
Most available methods for joint state-parameter estimation in discrete-time stochastic time-varying systems suffer from severe performance degradation if the system is not persistently excited. We revisit and extend a recently proposed adaptive Kalman filter in order to enhance its robustness against periods of poor excitation. A Levenberg–Marquardt-like regularization algorithm is integrated in the filter to preclude the estimator from becoming unreliable due to wind-up effects. It is proven that, under uniform complete observability–controllability conditions and a persistent excitation condition, the expectations of the state and parameter estimation errors tend to zero exponentially fast. Furthermore, their stability (in the sense of Lyapunov) is guaranteed even if the persistent excitation condition is not satisfied. The effectiveness of the algorithm is demonstrated using real sensor data from a vehicle motion estimation application. Unlike the original algorithm, the proposed regularized adaptive Kalman filter provides accurate and reliable estimates of the states and parameters despite periods of poor excitation.
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Germany (DE)How to cite
APA:
Rodrigo Marco, V., Kalkkuhl, J.C., Raisch, J., & Seel, T. (2022). Regularized adaptive Kalman filter for non-persistently excited systems. Automatica, 138. https://dx.doi.org/10.1016/j.automatica.2021.110147
MLA:
Rodrigo Marco, Vicent, et al. "Regularized adaptive Kalman filter for non-persistently excited systems." Automatica 138 (2022).
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