Laplace estimation for scalar linear systems. (October 2022)

• Record Type: Journal Article
• Authors: Duong, Nhattrieu C.; Speyer, Jason L.; Idan, Moshe
• Is Part Of: Automatica. Volume 144(2022)
• Publication Date: 2022-10
• Subjects: Estimation and filtering -- Linear systems; Automatic control -- Periodicals; Automation -- Periodicals; 629.805
• DOI: 10.1016/j.automatica.2022.110301
• Languages: English
• ISSNs: 0005-1098

Abstract

Abstract: Uncertainties in many physical systems have impulsive properties poorly modeled by Gaussian distributions. Refocusing previous work, an estimator is derived for a scalar discrete-time linear system with additive Laplace measurement and process noises. The a priori and a posteriori conditional probability density functions (pdf) of the state given a measurement sequence are propagated recursively and in closed form, and the a posteriori conditional mean and variance are derived analytically from the conditional pdf. A simulation for an estimator is presented, demonstrating marked resilience to large, un-modeled spikes in the measurements.