@article{6d88457af5264c04959e9b214723f811,
title = "A unified filter for simultaneous input and state estimation of linear discrete-time stochastic systems",
abstract = "In this paper, we present a unified optimal and exponentially stable filter for linear discrete-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense, without making any assumptions on the direct feedthrough matrix. We also provide the connection between the stability of the estimator and a system property known as strong detectability, and discuss the global optimality of the proposed filter. Finally, an illustrative example is given to demonstrate the performance of the unified unbiased minimum-variance filter.",
author = "Yong, {Sze Zheng} and Minghui Zhu and Emilio Frazzoli",
note = "Funding Information: This paper presented a unified filter for simultaneously estimating the states and unknown inputs in an unbiased minimum-variance sense for linear discrete-time stochastic systems, without any restriction on the direct feedthrough matrix of the system. We proved that ULISE is globally optimal over the class of all linear unbiased state and input estimators for systems with unknown inputs and provided stability conditions for the filter, which are shown to be closely related to the strong detectability of the system. Simulation results have shown that ULISE was the best estimator in all the test trials. Sze Zheng Yong is currently a Ph.D. candidate in the Department of Mechanical Engineering at Massachusetts Institute of Technology (MIT) and is affiliated with the Laboratory for Information and Decision Systems. He has obtained a Dipl.-Ing.(FH) degree in automotive engineering with a specialization in mechatronics and control systems from the Esslingen University of Applied Sciences, Germany in 2008 and an S.M. degree in mechanical engineering from MIT in 2010. His research interests lie in the broad area of control and estimation of hidden mode hybrid systems, with applications to intention-aware autonomous systems and secure cyber–physical systems. Minghui Zhu is the Dorothy Quiggle Assistant Professor in the Department of Electrical Engineering at the Pennsylvania State University. Prior to that, he was a postdoctoral associate in the Laboratory for Information and Decision Systems at the Massachusetts Institute of Technology. He received Ph.D. in Engineering Science (Mechanical Engineering) from the University of California, San Diego in 2011. His research interests lie in the design, analysis and control of multi-agent networks with applications in multi-vehicle networks, security and the smart grid. He is the co-author of the book “Distributed optimization-based control of multiagent networks in complex environments” (Springer, 2015). He was the recipient of the Powell fellowship and the Back fellowship at the University of California, San Diego in 2007. For his Ph.D. research, he received the award of Outstanding Graduate Student of Mechanical and Aerospace Engineering at the University of California, San Diego in 2011. He is an associate editor of the Conference Editorial Board of the IEEE Control Systems Society. He was selected as an outstanding reviewer of Automatica in 2013 and 2014. Emilio Frazzoli is a Professor of Aeronautics and Astronautics with the Laboratory for Information and Decision Systems, and the Operations Research Center at the Massachusetts Institute of Technology. He received a Laurea degree in Aerospace Engineering from the University of Rome, “Sapienza”, Italy, in 1994, and a Ph.D. degree from the Department of Aeronautics and Astronautics of the Massachusetts Institute of Technology, in 2001. Before returning to MIT in 2006, he held faculty positions at the University of Illinois, Urbana-Champaign, and at the University of California, Los Angeles. He is currently the Director of the Transportation@MIT initiative, and the Lead Principal Investigator of the Future Urban Mobility IRG of the Singapore-MIT Alliance for Research and Technology (SMART). He was the recipient of a NSF CAREER award in 2002. He is an Associate Fellow of the American Institute of Aeronautics and Astronautics and a Senior Member of the Institute for Electrical and Electronics Engineers. His current research interests focus primarily on autonomous vehicles, mobile robotics, and transportation systems, and in general lie in the area of planning and control for mobile cyber–physical systems. Publisher Copyright: {\textcopyright} 2015 Elsevier Ltd.",
year = "2016",
month = jan,
day = "1",
doi = "10.1016/j.automatica.2015.10.040",
language = "English (US)",
volume = "63",
pages = "321--329",
journal = "Automatica",
issn = "0005-1098",
publisher = "Elsevier Limited",
}