State observation with guaranteed confidence regions through sign perturbed sums

Philipp Polterauer, Harald Kirchsteiger, Luigi Del Re

Research output: Chapter in Book/Report/Conference proceedingsConference contributionpeer-review

1 Citation (Scopus)

Abstract

Standard state estimation approaches do not provide guaranteed confidence regions for finite data amounts. For some applications, in particular safety critical ones, this can be of interest. In this paper, we suggest a method to construct a moving horizon state estimator (MHE) able to provide confidence regions (CR) of the state estimate with exact probability under mild assumptions on the noise. To do so a novel algorithm called sign perturbed sums (SPS), as presented by B.Cs. Csaji et al. in [4], is combined with a MHE approach. The paper develops the idea for single input single output (SISO) linear time invariant (LTI) state-space systems and uses simulations and a comparison to results obtained in the standard way to confirm the potential of the method.

Original languageEnglish
Title of host publication54rd IEEE Conference on Decision and Control,CDC 2015
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages5660-5665
Number of pages6
ISBN (Electronic)9781479978861
DOIs
Publication statusPublished - 8 Feb 2015
Externally publishedYes
Event54th IEEE Conference on Decision and Control, CDC 2015 - Osaka, Japan
Duration: 15 Dec 201518 Dec 2015

Publication series

NameProceedings of the IEEE Conference on Decision and Control
Volume54rd IEEE Conference on Decision and Control,CDC 2015
ISSN (Print)0743-1546
ISSN (Electronic)2576-2370

Conference

Conference54th IEEE Conference on Decision and Control, CDC 2015
Country/TerritoryJapan
CityOsaka
Period15.12.201518.12.2015

Keywords

  • Linear systems
  • Probability density function
  • SISO
  • Standards
  • State estimation
  • Yttrium

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