Nonlinear Filters. Simon Haykin

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Nonlinear Filters - Simon  Haykin


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Baseline bold upper C Subscript i Baseline bold upper Phi left-parenthesis i comma j plus 1 right-parenthesis period"/>

      2.5.3 Discretization of LTV Systems

      (2.57)bold x left-parenthesis t Subscript k plus 1 Baseline right-parenthesis equals bold upper Phi left-parenthesis t Subscript k plus 1 Baseline comma t Subscript k Baseline right-parenthesis bold x left-parenthesis t Subscript k Baseline right-parenthesis plus left-parenthesis integral Subscript t Subscript k Baseline Superscript t Subscript k plus 1 Baseline Baseline bold upper Phi left-parenthesis t Subscript k plus 1 Baseline comma tau right-parenthesis bold upper B left-parenthesis tau right-parenthesis normal d tau right-parenthesis bold u left-parenthesis tau right-parenthesis period

      Therefore, dynamics of the discrete‐time equivalent of the continuous‐time system in (2.36) and (2.37) will be governed by the following state‐space model [19]:

      (2.58)StartLayout 1st Row 1st Column bold x left-parenthesis t Subscript k plus 1 Baseline right-parenthesis 2nd Column equals bold upper Phi left-parenthesis t Subscript k plus 1 Baseline comma t Subscript k Baseline right-parenthesis bold x left-parenthesis t Subscript k Baseline right-parenthesis plus bold upper Gamma left-parenthesis t Subscript k plus 1 Baseline comma t Subscript k Baseline right-parenthesis bold u left-parenthesis t Subscript k Baseline right-parenthesis comma EndLayout

      (2.59)StartLayout 1st Row 1st Column bold y left-parenthesis t Subscript k Baseline right-parenthesis 2nd Column equals bold upper C left-parenthesis t Subscript k Baseline right-parenthesis bold x left-parenthesis t Subscript k Baseline right-parenthesis plus bold upper D left-parenthesis t Subscript k Baseline right-parenthesis bold u left-parenthesis t Subscript k Baseline right-parenthesis comma EndLayout

      where

      (2.60)bold upper Gamma left-parenthesis t Subscript k plus 1 Baseline comma t Subscript k Baseline right-parenthesis equals integral Subscript t Subscript k Baseline Superscript t Subscript k plus 1 Baseline Baseline bold upper Phi left-parenthesis t Subscript k plus 1 Baseline comma tau right-parenthesis bold upper B left-parenthesis tau right-parenthesis normal d tau period

      As mentioned before, observability is a global property for linear systems. However, for nonlinear systems, a weaker form of observability is defined, in which an initial state must be distinguishable only from its neighboring points. Two states bold x Subscript a Baseline left-parenthesis t 0 right-parenthesis and bold x Subscript b Baseline left-parenthesis t 0 right-parenthesis are indistinguishable, if their corresponding outputs are equal: bold y Subscript a Baseline left-parenthesis t right-parenthesis equals bold y Subscript b Baseline left-parenthesis t right-parenthesis for t 0 less-than t less-than upper T, where upper T is finite. If the set of states in the neighborhood of a particular initial state bold x left-parenthesis t 0 right-parenthesis that are indistinguishable from it includes only bold x left-parenthesis t 0 right-parenthesis, then, the nonlinear system is said to be weakly observable at that initial state. A nonlinear system is called to be weakly observable if it is weakly observable at all bold x 0 element-of double-struck upper R Superscript n Super Subscript x. If the state and the output trajectories of a weakly observable nonlinear system remain close to the corresponding initial conditions, then the system that satisfies this additional constraint is called locally weakly observable [13, 20].

      2.6.1


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