SEQUENTIAL STATE AND PARAMETER ESTIMATION IN DISCRETE NONLINEAR SYSTEMS,
Abstract
The work presented in this report derives a sequential method for on-line estimation of the state variables and parameters of discrete, non-linear, dynamical systems. A discrete version of Pontryagin's Maximum Principle is employed to obtain the canonic equations of the least-squares optimal estimator. A discretized invariant imbedding technique is then applied to solve the resulting two-point boundary value problem. Finally, a system of sequential equations is obtained by application of variational methods to the optimal trajectory. The result is a sequential estimation scheme conceptually related to existing methods developed for continuous systems. The method presented has the advantage of direct applicability to discrete systems and provides for the inclusion of higher-order terms not usually considered by other methods. As a result of these inherent features, the process has been found to provide a faster, more stable estimate of the system variables. In addition, a minimum of a-priori statistical information is required. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Apr 01, 1968
- Accession Number
- AD0668116
Entities
People
- George W. Masters Jr
Organizations
- The Aerospace Corporation