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arXiv · 1407.6404

An autoregressive (AR) model based stochastic unknown input realization and filtering technique

Dan Yu·Suman Chakravorty
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Abstract

This paper studies the state estimation problem of linear discrete-time systems with stochastic unknown inputs. The unknown input is a wide-sense stationary process while no other prior informaton needs to be known. We propose an autoregressive (AR) model based unknown input realization technique which allows us to recover the input statistics from the output data by solving an appropriate least squares problem, then fit an AR model to the recovered input statistics and construct an innovations model of the unknown inputs using the eigensystem realization algorithm (ERA). An augmented state system is constructed and the standard Kalman filter is applied for state estimation. A reduced order model (ROM) filter is also introduced to reduce the computational cost of the Kalman filter. Two numerical examples are given to illustrate the procedure.

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Dan Yu, Suman Chakravorty. 2016-04-04. An autoregressive (AR) model based stochastic unknown input realization and filtering technique. https://doi.org/10.1016/j.automatica.2015.10.013

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