: Lyapunov Equation for backward continuous-time Kalman Filter

In summary, the form of Lyapunov equation for a backward continuous-time Kalman filter is the steady-state Riccati equation.
  • #1
shibdas
2
0
URGENT: Lyapunov Equation for backward continuous-time Kalman Filter

Hi,

Consider a continuous Kalman filter running backward in time as desired in a "two-filter" smoother. What would be the form of Lyapunov equation for this backward-time filter?

Given a system: dx/dt = Fx + Gv, and, say, a forward Kalman filter: dX/dt = CX + Dx + Ew (where X is the filtered esimate of the state x, and v, w are white noises), the augmented system would be: d/dt [x X]' = A [x X]' + B [v w]'

Then, the (steady-state) Lyapunov equation for the augmented (forward-time) system is: AP + PA' + BB' = 0.

In backward-time, the system modifies to: - dx/dt = Fx + Gv, and accordingly the (backward) Kalman filter may be obtained using standard Riccati equation approach. How would the augmented system be obtained to be used for Lyapunov equation? What is the form of the Lyapunov equation in this case, if different from the forward-case mentioned earlier? I need to be able to use Lyapunov equation to derive the state-covariance matrix and the error-covariance from that.

Thanks in advance,
Shibdas.
 
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  • #2


shibdas said:
Hi,

Consider a continuous Kalman filter running backward in time as desired in a "two-filter" smoother. What would be the form of Lyapunov equation for this backward-time filter?

Given a system: dx/dt = Fx + Gv, and, say, a forward Kalman filter: dX/dt = CX + Dx + Ew (where X is the filtered esimate of the state x, and v, w are white noises), the augmented system would be: d/dt [x X]' = A [x X]' + B [v w]'

Then, the (steady-state) Lyapunov equation for the augmented (forward-time) system is: AP + PA' + BB' = 0.

In backward-time, the system modifies to: - dx/dt = Fx + Gv, and accordingly the (backward) Kalman filter may be obtained using standard Riccati equation approach. How would the augmented system be obtained to be used for Lyapunov equation? What is the form of the Lyapunov equation in this case, if different from the forward-case mentioned earlier? I need to be able to use Lyapunov equation to derive the state-covariance matrix and the error-covariance from that.

Thanks in advance,
Shibdas.

Welcome to the PF.

Can you give us the context of your question? Why is it urgent? Is it for schoolwork?
 
  • #3


Yes, this is for my research work in my school. It is urgent because I need to present my work soon.

Note that I know that the error-covariance for the backward filter is simply the solution of the steady-state Riccati equation used to obtain the backward Kalman filter. But, I need to use Lyapunov equation (for the augmented system) to evaluate it and demonstrate that the two errors are the same.

It appears to me that the correct answer may be obtained ONLY if the augmented system considers, alongwith the backward filter equation, the forward system equation: dx/dt = Fx + Gv, rather than the backward system equation: - dx/dt = Fx + Gv (which is strange).

Thanks,
Shibdas.
 

Related to : Lyapunov Equation for backward continuous-time Kalman Filter

1. What is the Lyapunov Equation for backward continuous-time Kalman Filter?

The Lyapunov Equation for backward continuous-time Kalman Filter is a mathematical formula used to calculate the optimal gain for the backward Kalman filter in continuous time. It is based on the Lyapunov equation, which is a well-known formula in control theory used to analyze the stability of a system.

2. How does the Lyapunov Equation differ from other Kalman filter equations?

The Lyapunov Equation for backward continuous-time Kalman Filter is specifically designed for continuous-time systems, while other Kalman filter equations are usually designed for discrete-time systems. This means that the Lyapunov Equation takes into account the continuous nature of the system, which can be more accurate in certain applications.

3. What is the importance of the Lyapunov Equation in the Kalman filter?

The Lyapunov Equation is important in the Kalman filter because it helps to calculate the optimal gain for the backward filter, which is crucial for accurately estimating the state of a system. Without the Lyapunov Equation, it would be difficult to determine the optimal gain and the Kalman filter may not work effectively.

4. How is the Lyapunov Equation used in practice?

The Lyapunov Equation is used in practice by implementing it in computer algorithms or software programs that perform Kalman filtering. The equation is typically solved numerically using matrix algebra techniques, and its solution is used to calculate the optimal gain for the backward filter. This gain is then used in the Kalman filter algorithm to estimate the state of the system.

5. Are there any limitations to using the Lyapunov Equation for backward Kalman filtering?

Like any mathematical equation, the Lyapunov Equation has limitations. It assumes that the system is linear and that the noise in the system is Gaussian and white. It also assumes that the system is continuously observable, meaning that the state of the system can be accurately measured at all times. These assumptions may not hold in all real-world applications, which can limit the effectiveness of the Lyapunov Equation for backward Kalman filtering.

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