Variational Integrators for Structure-Preserving Filtering

Jarvis Schultz, Kathrin Flaßkamp, Todd D. Murphey

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

Estimation and filtering are important tasks in most modern control systems. These methods rely on accurate discrete-time approximations of the system dynamics. We present filtering algorithms that are based on discrete mechanics techniques (variational integrators), which are known to preserve system structures (momentum, symplecticity, and constraints, for instance) and have stable long-term energy behavior. These filtering methods show increased performance in simulations and experiments on a real digital control system. The particle filter as well as the extended Kalman filter benefits from the statistics-preserving properties of a variational integrator discretization, especially in low bandwidth applications. Moreover, it is shown how the optimality of the Kalman filter can be preserved through discretization by means of modified discrete-time Riccati equations for the covariance updates. This leads to further improvement in filter accuracy, even in a simple test example.

Original languageEnglish (US)
Article number021005
JournalJournal of Computational and Nonlinear Dynamics
Volume12
Issue number2
DOIs
StatePublished - Mar 1 2017

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Mechanical Engineering
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Variational Integrators for Structure-Preserving Filtering'. Together they form a unique fingerprint.

Cite this