arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1503.05968math.OCcs.SYeess.SYmath.STstat.TH
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几何方法用于最优传感器设计

Geometric methods for optimal sensor design

University of Illinois, Urbana-Champaign(伊利诺伊大学厄巴纳-香槟分校)

M. -A. Belabbas

AI总结:

本文提出通过几何方法设计最优传感器,针对卡尔曼滤波器的最优传感器特性,推导出正定算子的交换条件,并提供梯度流算法以保证收敛性,从而实现最小估计误差。

摘要:

观察器是从噪声传感器测量中估计动态系统状态的估计器。观察器的需求无处不在,应用于工程、生物学和经济学等领域。最常用的观察器是卡尔曼滤波器,它在噪声为加性高斯噪声时是最佳估计器。由于其性能受限于配对的传感器,因此自然寻求卡尔曼滤波器的最优传感器。然而,该问题非凸,因此多年来采用了许多即兴方法来设计传感器。本文展示了如何表征并获得卡尔曼滤波器的最优传感器。具体而言,我们展示了最优传感器必须与正定算子交换的算子。我们还提供了一种梯度流来寻找最优传感器,并证明了在广泛的应用中该梯度流收敛到唯一的极小值。该最优传感器在固定信噪比下产生最低可能的估计误差。本文所呈现的结果也适用于最优执行器设计的对偶问题。

英文摘要:

An observer is an estimator of the state of a dynamical system from noisy sensor measurements. The need for observers is ubiquitous, with applications in fields ranging from engineering to biology to economics. The most widely used observer is the Kalman filter, which is known to be the optimal estimator of the state when the noise is additive and Gaussian. Because its performance is limited by the sensors to which it is paired, it is natural to seek an optimal sensor for the Kalman filter. The problem is however not convex and, as a consequence, many ad hoc methods have been used over the years to design sensors. We show in this paper how to characterize and obtain the optimal sensor for the Kalman filter. Precisely, we exhibit a positive definite operator which optimal sensors have to commute with. We furthermore provide a gradient flow to find optimal sensors, and prove the convergence of this gradient flow to the unique minimum in a broad range of applications. This optimal sensor yields the lowest possible estimation error for measurements with a fixed signal to noise ratio. The results presented here also apply to the dual problem of optimal actuator design.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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