Systematic Estimation of Noise Statistics for Nonlinear State Estimators
by Parametric Uncertainty
Abstract
An easy-to-implement noise estimation method for tuning state estimators
is proposed. It outperforms benchmark methods in terms of accuracy or
computational cost both in theory and in a case study. We assume
parametric uncertainty in the process model, which we transform into
noise statistics using the generalized unscented transformation (GenUT).
While most other methods estimate only the noise covariance, we also
estimate the mean. Our tuning method is suitable for input-output
models, demonstrated through a case study involving process simulators
and industrial data. We present a theoretical analysis of our method,
which is based on splitting one large GenUT to two smaller GenUTs. This
results in two theorems: i) mean approximations for the two systems are
equal and ii) covariance approximations are similar under certain mild
conditions. These theorems confirm the validity of our method, and we
discuss their potential to realize a numerically stable GenUT for
high-dimensional systems.