Linear Time-Varying Parameter Estimation: Maximum A Posteriori Approach via Semidefinite Programming

We study the problem of identifying a linear time-varying output map from measurements and linear time-varying system states, which are perturbed with Gaussian observation noise and process uncertainty, respectively. Employing a stochastic model as prior knowledge for the parameters of the unknown output map, we reconstruct their estimates...

Real-time Fault Estimation for a Class of Discrete-Time Linear Parameter-Varying Systems

Estimating and detecting faults is crucial in ensuring safe and efficient automated systems. In the presence of disturbances, noise, or varying system dynamics, such estimation is even more challenging. To address this challenge, this letter proposes a novel filter to estimate multiple fault signals for a class of discrete-time linear...

Frequency Domain Identification of Multirate Systems: A Lifted Local Polynomial Modeling Approach

Frequency-domain representations of multirate systems are essential for controller design and performance evaluation of multirate systems and sampled-data control. The aim of this paper is to develop a time-efficient closed-loop identification approach for multirate systems in the frequency-domain. The developed method utilizes local polynomial...

Online policy iterations for optimal control of input-saturated systems

This work proposes an online policy iteration procedure for the synthesis of sub-optimal control laws for uncertain Linear Time Invariant (LTI) Asymptotically Null-Controllable with Bounded Inputs (ANCBI) systems. The proposed policy iteration method relies on: a policy evaluation step with a piecewise quadratic Lyapunov function in both the...

On martingales and recursive optimal state estimation

This report constitutes the deposit of a study of literature on martingales and estimation theory. Some experimental work concerning the efficiency of an estimation algorithm based on martingales is also described. The investigation has been guided by the intent to investigate martingales in relation to the Kalman and Kalman-Bucy filters and to...