Nonlinear set membership filter with state estimation constraints via consensus-ADMM

This paper considers the state estimation problem for nonlinear dynamic systems with unknown but bounded noises. Set membership filter (SMF) is a popular algorithm to solve this problem. In the set membership setting, we investigate the filter problem where the state estimation requires to be constrained by a linear or nonlinear equality. We propose a consensus alternating direction method of multipliers (ADMM) based SMF algorithm for nonlinear dynamic systems. To deal with the difficulty of nonlinearity, instead of linearizing the nonlinear system, a semi-infinite programming (SIP) approach is used to transform the nonlinear system into a linear one, which allows us to obtain a more accurate estimation ellipsoid. For the solution of the SIP, an ADMM algorithm is proposed to handle the state estimation constraints, and each iteration of the algorithm can be solved efficiently. Finally, the proposed filter is applied to typical numerical examples to demonstrate its effectiveness.(c) 2023 Elsevier Ltd. All rights reserved.

Automated summary

This paper addresses the state estimation problem for nonlinear dynamic systems with unknown but bounded noises. It proposes a consensus ADMM-based SMF algorithm to handle the state estimation constraints by transforming the nonlinear system into a linear one using a SIP approach. The proposed filter is shown to be effective through numerical examples.