Probability-Guaranteed Envelope-Constrained Filtering for Nonlinear Systems Subject to Measurement Outliers

This article deals with the recursive filtering problem for nonlinear time-varying stochastic systems subject to possible measurement outliers. In order to mitigate the effects from possible abnormal measurements, we construct a filter with a saturation constraint imposed on the innovations where th...

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Vydané v:IEEE transactions on automatic control Ročník 66; číslo 7; s. 3274 - 3281
Hlavní autori: Ma, Lifeng, Wang, Zidong, Hu, Jun, Han, Qing-Long
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: New York IEEE 01.07.2021
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Predmet:
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Algorithms
Computational geometry
Constraints
Convexity
envelope-constraint in probability
Estimation error
Filtration
finite-horizon filtering
Horizon
Linear matrix inequalities
Mathematical model
measurement outliers
Nonlinear systems
Optimization
Outliers (statistics)
Performance indices
Saturation
Signal processing algorithms
Stochastic systems
Technological innovation
Time-varying systems
ISSN:0018-9286, 1558-2523
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Shrnutí:This article deals with the recursive filtering problem for nonlinear time-varying stochastic systems subject to possible measurement outliers. In order to mitigate the effects from possible abnormal measurements, we construct a filter with a saturation constraint imposed on the innovations where the saturation level is adaptively determined according to the estimation errors. Two performance indices, namely, the finite-horizon <inline-formula><tex-math notation="LaTeX">H_\infty</tex-math></inline-formula> specification and the envelope-constraint criterion with a prescribed probability, are put forward to describe the transient characteristics of the filtering error dynamics over a specified time interval. The purpose of the addressed problem is to design a filter capable of guaranteeing both the finite-horizon <inline-formula><tex-math notation="LaTeX">H_\infty</tex-math></inline-formula> performance index and the probability-guaranteed envelope-constraint. Sufficient conditions are derived for the existence of the desired filter via certain convex optimization algorithms. Finally, an illustrative numerical example is proposed to demonstrate the effectiveness of the developed algorithm.
Bibliografia:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.2020.3016767