Mean-square convergent continuous state estimation of randomly switched linear systems with unobservable subsystems and stochastic output noises

• Published in: Automatica (Oxford) Vol. 156; p. 111181
• Main Authors: Wang, Le Yi, Yin, George, Lin, Feng, Polis, Michael P., Chen, Wen
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.10.2023
• Subjects: Kalman–Bucy filters; Mean-square convergence; Observer design; Randomly switched linear systems; State estimation; Stochastic hybrid systems; Mean-square convergence; Stochastic hybrid systems; Randomly switched linear systems; Kalman–Bucy filters; State estimation; Observer design
• ISSN: 0005-1098; 1873-2836
• DOI: 10.1016/j.automatica.2023.111181

This paper studies mean-square (MS) convergent observers for estimating continuous states of randomly switched linear systems (RSLSs) with unobservable subsystems that are subject to stochastic output observation noises. When subsystems are unobservable and switching sequences are random, the classical Kalman–Bucy filters that are applied to observable sub-states are shown to be potentially divergent. It is also shown that unless the switching interval T can be selected to be sufficiently small from the outset, MS convergence may never be achieved, regardless of how the observers for the subsystems are designed. The critical threshold Tmax on T is derived for MS convergent observers to be achievable. Under the condition T<Tmax, this paper introduces design algorithms for subsystem observers to generate a globally MS convergent observer for the entire continuous state. A fundamental design tradeoff between convergence speeds and steady-state estimation errors is analyzed. This paper extends our recent new framework and algorithms for strong convergent observer design in RSLSs by including observation noises, considering multi-output systems, establishing new algorithms for MS convergence, and developing design tradeoff analysis. Examples and a practical case study are presented to illustrate the design procedures, main convergence properties, and error analysis.