Nonlinear estimation techniques play an important role for process monitoring since some states and most of the parameters cannot be directly measured. There are many techniques available for nonlinear state and parameter estimation, i.e., extended Kalman filter (EKF), unscented Kalman filter (UKF), particle filtering (PF) and moving horizon estimation (MHE) etc. However, many issues related to the available techniques are to be solved. This dissertation discusses three important
techniques in nonlinear estimation, which are the application of unscented Kalman filters, improvement of moving horizon estimation via computation of the arrival cost and different implementations of extended Kalman filters.
First the use of several estimation algorithms such as linearized Kalman filter (LKF), extended Kalman filter (EKF), unscented Kalman filter (UKF) and moving horizon estimation (MHE) are investigated for nonlinear systems with special emphasis on UKF as it is a relatively new technique. Detailed case studies show that UKF has advantages over EKF for highly nonlinear unconstrained estimation problems while MHE performs better for systems with constraints.
Moving horizon estimation alleviates the computational burden of solving a full information estimation problem by considering a finite horizon of the measurement data; however, it is non-trivial to determine the arrival cost. A commonly used approach for computing the arrival cost is to use a first order Taylor series approximation of the nonlinear model and then apply an extended Kalman filter. The second contribution
of this dissertation is that an approach to compute the arrival cost for moving horizon estimation based on an unscented Kalman filter is proposed. It is found that such a moving horizon estimator performs better in some cases than if one based on
an extended Kalman filter. It is a promising alternative for approximating the arrival cost for MHE.
Many comparative studies, often based upon simulation results, between extended Kalman filters (EKF) and other estimation methodologies such as moving horizon estimation, unscented Kalman filter, or particle filtering have been published
over the last few years. However, the results returned by the extended Kalman filter are affected by the algorithm used for its implementation and some implementations
of EKF may lead to inaccurate results. In order to address this point, this dissertation investigates several different algorithms for implementing extended Kalman filters. Advantages and drawbacks of different EKF implementations are discussed
in detail and illustrated in some comparative simulation studies. Continuously predicting covariance matrix for EKF results in an accurate implementation. Evaluating
covariance matrix at discrete times can also be applied. Good performance can be expected
if covariance matrix is obtained from integrating the continuous-time equation
or if the sensitivity equation is used for computing the Jacobian matrix.
| Identifer | oai:union.ndltd.org:tamu.edu/oai:repository.tamu.edu:1969.1/ETD-TAMU-2009-12-7225 |
| Date | 2009 December 1900 |
| Creators | Qu, Chunyan |
| Contributors | Hahn, Juergen |
| Source Sets | Texas A and M University |
| Language | en_US |
| Detected Language | English |
| Type | Book, Thesis, Electronic Dissertation, text |
| Format | application/pdf |
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