Projection based constrained nonlinear state estimation using Gaussian sum filters

Abstract

Constraint handling is an integral part of any practical state estimation procedure. Most current approaches to constrained state estimation ensure that the point estimate is feasible with respect to the constraints and are based on popular unconstrained approaches such as sampling based approaches such as Unscented Kalman Filter (UKF) [1], which use deterministically chosen set of sigma points. However, UKF is based on an implicit assumption that the conditional state densities at various steps are Gaussian. In a recent work [2], a new filter termed as Unscented Gaussian Sum Filter (UGSF) was proposed that represents the prior density as a Gaussian sum. It was shown, using simulation studies, that the UGSF outperforms UKF thereby demonstrating the advantage of using a non-Gaussian prior. In this work, we propose to extend UGSF to constrained UGSF by incorporation of constraints on the states in the estimation process. In particular, we propose to use Interval Constrained Unscented Transformation (ICUT) [3] and projection algorithm [4] with the UGSF framework. Implementation on the three state isothermal batch reactor case study [5] shows that the proposed constrained UGSF using the projection method outperforms constrained UKF while maintaining the computation effort similar to the constrained UKF version.