Engineering topics

Van Dooren, P.

Publications and source records attributed to Van Dooren, P..

5 records

NASA NTRS1988

New insights in the numerical reliability properties of existing Kalman filter implementations

The convergence properties of Kalman filter algorithms are investigated analytically. A theoretical error analysis is performed on four types of algorithms, as defined by Anderson and Moore (1979): (1) a conventional Kalman filter, (2) a square-root (SR) covariance filter, (3) the Chandrasekhar SR filter, and (4) an SR information filter. The derivations are given in detail, and numerical results for the flight-path reconstruction problem studied by Verhaegen (1987) are presented in tables and graphs. It is shown that error propagation in algorithms (1) and (2) is sensitive to the condition number of the innovation-signal covariance matrix and the spectral norm of the filter state-transition matrix, whereas other parameters are dominant in (3) and (4). Filter (2) is found to be the most reliable for the class of problems studied.

Verhaegen, M. H.↗

NASA NTRS1986

Numerical aspects of different Kalman filter implementations

A theoretical analysis is made of the error propagation due to numerical roundoff for four different Kalman filter implementations: the conventional Kalman filter, the square root covariance filter, the square root information filter, and the Chandrasekhar square root filter. An experimental analysis is performed to validate the new insights gained by the theoretical analysis.

Verhaegen, M.↗

NASA NTRS1986

A theoretical analysis of the round-off propagation in different Kalman filter implementations

A theoretical analysis is made of the error propagation due to numerical round-off for four different Kalman filter implementations: the conventional Kalman filter, the square root covariance filter, the square root information filter and the Chandrasekhar square root filter. From these error models, new insights about the applicability of the different filters and their sensitivity to round-off, is obtained. It is shown that the CKF may become completely unreliable when the original plant is unstable, and that this is easily circumvented by a number of techniques. The square root filters, often quoted to possess a conditioning or sensitivity that is the square root of that of the CKF, are shown to possess this property only for the computation of the covariance of the filtered signal and not for the computation of the Kalman gain or the filtered estimate. Finally, the Chandrasekhar filter is shown to be numerically unstable.

Verhaegen, M.↗

NASA NTRS1986

A class of fast staircase algorithms for generalized state-space systems

Several methods are presented for defining generalized state space models (GSSM), with emphasis on 'fast' techniques for transforming GSSMs to condensed state space models (SSM). The fast forms are configured to yield invariant transfer functions. Details of the decomposition process are summarized in terms of the determination of eigenvalues which are separated within staircase matrices. Applications of the techniques are illustrated through implementation of a unimodular transformation which does not affect the finite eigenvalues, by demonstrating deadbeat control of a GSSM, which the definition of a reduced observer of a GSSM, and by embedding a polynomial matrix into a unimodular matrix.

Beelen, T.↗

NASA NTRS1982

A general algorithm for solving the algebraic Riccati equation

The generalized eigenvalue problem provides a suitable framework for reliable solutions of many system theoretic, control, and estimation problems. A general algorithm for solving the matrix algebraic Riccati equation (ARE) which utilizes a pencil structure is described here. This algorithm avoids unnecessary inversion of cost or transition matrices, making it a numerically sound way to solve for the gains and/or ARE with singular quadratic costs, for cases satisfying detectability and stabilizability conditions. Examples are solution with discrete dead-beat control, noiseless measurements in Kalman filters and time-delays in discrete-time systems, which cause difficulties in the Hamiltonian standard eigenvalue problem formulation. The ARE algorithm implementatiton and numerical examples are shown.

Walker, R. A.↗