Title :
State estimation of continuous-time linear stochastic systems subject to state equality or inequality constraints
Author_Institution :
Kyoto Inst. of Technol., Kyoto, Japan
Abstract :
In this paper, the constrained estimators are derived for continuous-time linear stochastic systems whose states obey state equality or inequality constraints. The principal idea is the projection of the Kalman estimate onto the constraint subspace. The estimator is extended to the identification problem to estimate the unknown parameters in the system matrix which are subjected to some inequality constraints.
Keywords :
Kalman filters; continuous time systems; linear systems; state estimation; stochastic systems; Kalman estimate; constrained estimators; continuous-time linear stochastic systems; inequality constraints; state equality; state estimation; system matrix; Covariance matrix; Equations; Estimation; Kalman filters; Linear systems; Stochastic systems; Vectors; Kalman filtering; constrained parameter; state equality constraint; state inequality constraint;
Conference_Titel :
SICE Annual Conference (SICE), 2012 Proceedings of
Conference_Location :
Akita
Print_ISBN :
978-1-4673-2259-1
