Quantitative measures of observability for stochastic systems

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2012

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Subaşı, Yüksel

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The observability measure based on the mutual information between the last state and the measurement sequence originally proposed by Mohler and Hwang (1988) is analyzed in detail and improved further for linear time invariant discrete-time Gaussian stochastic systems by extending the definition to the observability measure of a state sequence. By using the new observability measure it is shown that the unobservable states of the deterministic system have no effect on this measure and any observable part with no measurement uncertainty makes it infinite. Other distance measures i.e., Bhattacharyya and Hellinger distances are also investigated to be used as observability measures. The relationships between the observability measures and the covariance matrices of Kalman filter and the state sequence conditioned on the measurement sequence are derived. Steady state characteristics of the observability measure based on the last state is examined. The observability measures of a subspace of the state space, an individual state, the modes of the system are investigated. One of the results obtained in this part is that the deterministically unobservable states may have nonzero observability measures. The observability measures based on the mutual information are represented recursively and calculated for nonlinear stochastic systems. Then the measures are applied to a nonlinear stochastic system by using the particle filter methods. The arguments given for the LTI case are also observed for nonlinear stochastic systems. The second moment approximation deviates from the actual values when the nonlinearity in the system increases.

Subject Keywords

Observers (Control theory)., Stochastic systems.

URI

http://etd.lib.metu.edu.tr/upload/12614130/index.pdf
https://hdl.handle.net/11511/21475

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Graduate School of Natural and Applied Sciences, Thesis

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Citation Formats

Y. Subaşı, “Quantitative measures of observability for stochastic systems,” Ph.D. - Doctoral Program, Middle East Technical University, 2012.