• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Article

Weight and time recursions in dynamic state estimation problem with mixed-norm cost function

IEEE Transactions on Automatic Control. 2015. Vol. 60. No. 4. P. 1050-1063.
Akimov P. A., Matasov A. I.

The mixed-norm cost functions arise in many applied optimization problems. As an important example, we consider the state estimation problem for a linear dynamic system under a nonclassical assumption that some entries of state vector admit jumps in their trajectories. The estimation problem is solved by means of mixed l1/l2-norm approximation. This approach combines the advantages of the well-known quadratic smoothing and the robustness of the least absolute deviations method. For the implementation of the mixed-norm approximation, a dynamic iterative estimation algorithm is proposed. This algorithm is based on weight and time recursions and demonstrates the high efficiency. It well identifies the rare jumps in the state vector and has some advantages over more customary methods in case of a large amount of measurements that are typical for applied problems. Nonoptimality levels for current iterations of the algorithm are constructed. The computation of these levels allows to check the accuracy of iterations.