Nonlinear Filters. Simon Haykin

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Nonlinear Filters - Simon  Haykin


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bold upper A bold x left-parenthesis t right-parenthesis plus bold upper B bold u left-parenthesis t right-parenthesis comma EndLayout"/>

      where bold x element-of double-struck upper R Superscript n Super Subscript x, bold u element-of double-struck upper R Superscript n Super Subscript u, and bold y element-of double-struck upper R Superscript n Super Subscript y are the state, the input, and the output vectors, respectively, and bold upper A element-of double-struck upper R Superscript n Super Subscript x Superscript times n Super Subscript x, bold upper C element-of double-struck upper R Superscript n Super Subscript y Superscript times n Super Subscript x, bold upper B element-of double-struck upper R Superscript n Super Subscript x Superscript times n Super Subscript u, and bold upper D element-of double-struck upper R Superscript n Super Subscript y Superscript times n Super Subscript u are the system matrices. Here, we need to find out when an initial state vector bold x left-parenthesis t 0 right-parenthesis can be uniquely reconstructed from nonzero initial system output vector and its successive derivatives. We start by writing the system output vector and its successive derivatives based on the state vector as well as the input vector and its successive derivatives as follows:

      (2.5)StartLayout 1st Row 1st Column bold y left-parenthesis t right-parenthesis 2nd Column equals bold upper C bold x left-parenthesis t right-parenthesis plus bold upper D bold u left-parenthesis t right-parenthesis comma 2nd Row 1st Column ModifyingAbove bold y With dot left-parenthesis t right-parenthesis 2nd Column equals bold upper C bold upper A bold x left-parenthesis t right-parenthesis plus bold upper C bold upper B bold u left-parenthesis t right-parenthesis plus bold upper D ModifyingAbove bold u With dot left-parenthesis t right-parenthesis comma 3rd Row 1st Column ModifyingAbove bold y With two-dots left-parenthesis t right-parenthesis 2nd Column equals bold upper C bold upper A squared bold x left-parenthesis t right-parenthesis plus bold upper C bold upper A bold upper B bold u left-parenthesis t right-parenthesis plus bold upper C bold upper B ModifyingAbove bold u With dot left-parenthesis t right-parenthesis plus bold upper D ModifyingAbove bold u With two-dots left-parenthesis t right-parenthesis comma 4th Row 1st Column vertical-ellipsis 2nd Column equals vertical-ellipsis 5th Row 1st Column bold y Superscript left-parenthesis n minus 1 right-parenthesis Baseline left-parenthesis t right-parenthesis 2nd Column equals bold upper C bold upper A Superscript n minus 1 Baseline bold x left-parenthesis t right-parenthesis plus bold upper C bold upper A Superscript n minus 2 Baseline bold upper B bold u left-parenthesis t right-parenthesis plus midline-horizontal-ellipsis plus bold upper C bold upper B bold u Superscript left-parenthesis n minus 2 right-parenthesis Baseline left-parenthesis t right-parenthesis plus bold upper D bold u Superscript left-parenthesis n minus 1 right-parenthesis Baseline left-parenthesis t right-parenthesis comma EndLayout

      where the superscript in the parentheses denotes the order of the derivative. The aforementioned equations can be rewritten in the following compact form:

      (2.6)bold-script upper O bold x left-parenthesis t right-parenthesis equals bold-script upper Y left-parenthesis t right-parenthesis comma

      where

      and

      (2.8)bold-script upper Y left-parenthesis t right-parenthesis equals Start 4 By 1 Matrix 1st Row bold y left-parenthesis t right-parenthesis minus bold upper D bold u left-parenthesis t right-parenthesis 2nd Row ModifyingAbove bold y With dot left-parenthesis t right-parenthesis minus bold upper C bold upper B bold u left-parenthesis t right-parenthesis minus bold upper D ModifyingAbove bold u With dot left-parenthesis t right-parenthesis 3rd Row vertical-ellipsis 4th Row bold y Superscript left-parenthesis n minus 1 right-parenthesis Baseline left-parenthesis t right-parenthesis minus bold upper C bold upper A Superscript n minus 2 Baseline bold upper B bold u left-parenthesis t right-parenthesis minus midline-horizontal-ellipsis minus bold upper C bold upper B bold u Superscript left-parenthesis n minus 2 right-parenthesis Baseline left-parenthesis t right-parenthesis minus bold upper D bold u Superscript left-parenthesis n minus 1 right-parenthesis Baseline left-parenthesis t right-parenthesis EndMatrix period

      Initially we have

      (2.9)bold-script upper O bold x left-parenthesis t 0 right-parenthesis equals bold-script upper Y left-parenthesis t 0 right-parenthesis period

      (2.10)bold x left-parenthesis t 0 right-parenthesis equals bold-script upper O Superscript negative 1 Baseline bold-script upper Y left-parenthesis t 0 right-parenthesis period

      The observable subspace of the linear system, denoted by bold upper T Superscript upper O, is composed of the basis vectors of the range of bold-script upper O, and the unobservable subspace of the linear system, denoted by bold upper T Superscript upper O overbar, is composed of the basis vectors of the null space of bold-script upper O. These two subspaces can be combined to form the following nonsingular transformation matrix:

      (2.11)bold upper T equals StartBinomialOrMatrix bold upper T Superscript upper O Baseline Choose bold upper T Superscript upper O overbar Baseline EndBinomialOrMatrix period

      If we apply the aforementioned transformation to the state vector bold x such that:

      (2.12)bold z left-parenthesis t right-parenthesis equals bold upper T bold x left-parenthesis t right-parenthesis comma

      the transformed state vector bold z will be partitioned to observable modes, Скачать книгу