PSG COLLEGE OF TECHNOLOGY

Department of Instrumentation and Control Systems Engineering

STATE ESTIMATION

CONSTRAINED EXTENDED KALMAN FILTER

By,
ALLAN ANBU
18MO01
ME Control Systems
5/18/2019 PSG COLLEGE OF TECHNOLOGY 1
 OVERVIEW
• INTRODUCTION
• CONSTRAINTS
• CONSTRAINED LINEAR ESTIMATION
• EKF FOR EQUALITY CONSTRAINTS
• ALGORITHMS
• EKF FOR EQUALITY CONSTRAINTS
• EXAMPLE
• CONCLUSION
 INTRODUCTION
• Unlike Kalman Filter, EKF is a sub-optimal state
estimator.
• Structure of the filter does not include constraints
on the states.
• Moving Horizon estimation methods are preferred
for constrained state estimation.
• Constrained EKF can be implemented for a class of
linear constraints.
 CONSTRAINTS
• Consider a typical control system
 CONTD..
• The range of the manipulated variable is limited to
lie within a restricted range [umin,umax].
• Also, the process output is required to lie within
between pre-specified limits of the reference
value.
• Including the constraints in the system model
increases the complexity of the model.
• However, this provides us with better estimates.
 CONSTRAINED LINEAR ESTIMATION
• Consider the measurement equation,
yk = Hxk+ vk
With constraints, d = Dxk.

• Measurement equation can be augmented by considering state

equality constraints can be treated as perfect measurements with
zero measurement noise.

• This gives a posteriori Kalman filter estimate of the

state that is consistent with the measurements.
 THEOREM 1
• For the constraints, Fx = b and measurement
y = Cx + v, the least square estimate x and
covariance P are given by,
 EKF FOR EQUALITY CONSTRAINTS
• Consider the non-linear process and measurement equations,

• Imposing strict equality constraints on the state as,

Fxk = b
• The states are estimated from the measurements and corrected based on the
constraints.

• The priori information is propagated in time using a time-varying linearised

process model.
ALGORITHM FOR CONSTRAINED EKF
CONSTRAINED EKF
 THEOREM 2
• Applicable when the non-negativity conditions are
ignored to estimate states and slack variables.
• For C matrix with any rank, the least square
estimate and the covariance is given by,
 EKF FOR INEQUALITY CONSTRAINTS
• Consider the inequality on the states to be of the form,
Fx <= b.
• Of the p inequality constraints, a subset may be active at the
optimal solution which acts as an equality constraint.
Δ Fx = Δb.
where Δ= diag(λ1, λ2,… λp) and λi = 0 or 1 if the
constraint is active or inactive.
• If a set of active constraints is known a priori, the state
could be estimated based on the equality constraint as
shown earlier.
• If the active constraints are not known, an iterative solution
must be implemented.
 CONTD…
• The inequality constraints can be rewritten as a
equality constraint by a slack variable:
Fx + s = b , s>=0
• From the available information,
 CONTD..
• Where F is of full row rank but C is not of full
column rank.
• Non-negativity condition will not be satisfied
generally.
• Hence an iterative solution is used to compute the
inequality constrained MAP estimate.
ALGORITHM FOR INEQUALITY
CONSTRAINTS
 EXAMPLE – PROCESS MODEL
• Gas-phase irreversible reaction in a well mixed,
constant volume, isothermal batch reactor is
considered.
2A k=0.16 B
• The dynamics of partial pressure is described by
the non-linear ODE as
 MEASUREMENT EQUATION
• The reactor pressure measurement equation at a
sampling rate of Δt = 0.1 is given as,

• with vk ~ N(0,0.12). The initial conditions are

pA0 = 3 and pB0 = 1. The process discrete-time
model is given as
 INITIAL CONDITIONS
• The initial conditions are given as p̃io = [3,1]T and P0 =
I2.
• To be physically meaningful, the pressures cannot be
negative, i.e., the states must obey the following
inequality constraint,
[pi]k > 0
• Since the prior information is known well, the
performance of the EKF is generally acceptable in
most simulation runs and the estimates do not violate
the constraints.
• However, often the EKF convergence is slow.
 MODEL BASED ON CONSTRAINTS
• The constraints can be implemented by
developing a new state space model by
considering mole fractions and relating them to
total pressure.
 CONTD…
• The prior information is adapted from the partial
pressures prior into xio = [0.75, 0.25]T and P0 =
0.022I2
• Let us consider a case where the prior information
is poorly known, p̃io = [0.1,4.5]T and P0 = 62I2.
• Without imposing the non-negativity constraints,
the EKF fails to estimate the partial pressures from
the total pressures.
PARTIAL PRESSURES USING EKF
PARTIAL PRESSURES USING CEKF
 CONCLUSION
– When compared to the EKF results, the Moving
Horizon estimation results does not improve the
estimates since the constraints are not violated.
– Greater accuracy is achieved by CEKF with little
computational load over EKF.
 REFERENCE
• Sridhar Ungarala, Eric Dolence and Keyu Li,
“CONSTRAINED EXTENDED KALMAN FILTER
FOR NONLINEAR STATE ESTIMATION”, 8th
International IFAC Symposium on Dynamics and
Control of Process Systems, Preprints Vol.2, June
6-8, 2007, Cancún, Mexico.