Title :
A SDRE-based asymptotic observer for nonlinear discrete-time systems
Author :
Jaganath, Chandrasekar ; Ridley, Aaron ; Bernstein, Dennis S.
Author_Institution :
Dept. of Aerosp. Eng., Michigan Univ., Ann Arbor, MI, USA
Abstract :
A nonlinear asymptotic observer for a discrete-time nonlinear system is considered. The observer is based on a Kalman filter that uses the state dependent Riccati equation (SDRE) to obtain the filter gain. Unlike the extended Kalman filter, the SDRE-based Kalman filter does not involve the evaluation of a Jacobian at every time step. The convergence properties of the SDRE-based Kalman filter when used as an observer in a deterministic setting are analyzed. A few simulation examples are provided to demonstrate the performance and implementation of the SDRE-based observer in both deterministic and stochastic settings.
Keywords :
Kalman filters; Riccati equations; convergence; deterministic algorithms; discrete time systems; nonlinear systems; observers; stochastic systems; Kalman filter; SDRE; asymptotic observer; convergence properties; deterministic settings; filter gain; nonlinear discrete-time systems; state dependent Riccati equation; stochastic settings; Convergence; Filtering; Filters; Jacobian matrices; Nonlinear equations; Nonlinear systems; Observers; Riccati equations; State estimation; Time varying systems;
Conference_Titel :
American Control Conference, 2005. Proceedings of the 2005
Print_ISBN :
0-7803-9098-9
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2005.1470537