(CHAPTER, FIVE STATE ESTIMATION AND STOCHASTIC CONTROL 5.1 INTRODUCTION Up to this point we have considered only the control algorithms for process control without much discussion of the problems of process measurement and random process disturbances. However, in most industrial processes the total state vector can seldom be measured and the number of outputs is much less than the number of states. In addition, the process measurements are often corrupted by significant experimental error, and the process itself is subject to random, unmodeled upsets. Thus without some consideration of these problems in the total control system design, the measurements used for feedback control will often be inadequate for acceptable control system performance. In this chapter we shall begin by discussing on-line state estimation techniques which ‘may be used to provide acceptable estimates of all the state variables (even those ot directly measured) in the face of measurement error and process dis turbances. Following this, a brief introduction to stochastic feedback control, which is explicitly designed for systems with random disturbances and measure- ment errors, will be provided along with some illustrative applications. First we shall treat systems described by ordinary differential equations and then discuss ‘methods for distributed parameter systems. as246. ADVANCED PROCESS CONTROL, A fall, rigorous treatment of these topics requires a thorough background in the theory of stochastic processes. However, very few process contro! engineers. hhave this preparation, so the approach to be used here will be operational, the goal being to provide general, useful results for the engineer through formal plausible derivations of key results. For the reader who wishes a fuller treatment of the theory and alternative approaches, Refs. [1-7] are recommended, State Estimation In this chapter we are interested in state estimates which can be used with real-time control schemes; thus we shall consider only sequential state estimation algorithms in any detail. Nonsequential methods, which require a complete data base before computation begins, shall be mentioned only in passing. By sequen- tial estimation we mean that initial a priori estimates of the process states are continually updated and the best current estimates used in the control applica- tion. State estimation algorithms may be classified into three categories as shown, in Fig. SL 1. Smoothing, in which estimates at time ¢ are made from data taken both before and after time 1. Thus, smoothing does not provide current estimates at time 1, but only estimates of the state at some time f— 1 in the past. This is 1) Fitenen = Figure 5. Thrce pes of st ‘estimation: (a) smoothing (6) filtering, (c) predictionSTATE ESTIMATION AND STOCHASTIC CONTROL 247 illustrated in Fig. 5.14. Smoothing is basically a nonsequential technique and will not be discussed to any great extent here. 2. Filtering, in which estimates at time 1 are made from data up to time #, but not beyond. Thus, estimates are at = f,, the current time, as shown in Fig. S.1b. Filtering is the most common estimation technique employed with feedback controllers because the most up-to-date state estimates are provided in a sequential fashion. 3. Prediction, in which estimates at time ¢ are made from data up to time fy, where 1 > f,. This type of estimation, shown in Fig, 5.lc, is employed when ‘one must extrapolate ahead of data measurements, This situation might arise when there are analysis delays in measurements of outputs such as concentra- tion (eg., in chromatographic analysis) or when the states themselves have time delays in them (e.g, as in flow-through piping). In what follows we shall concentrate mainly on filtering and prediction. Fundamentally, state estimation is the problem of determining the values of the state variables from only a knowledge of the outputs (data) and the inputs (controls, disturbances), Clearly, for this to be successful, this input-output information must provide a unique state estimate, which implies system obserea- bility (see Sec. 5.2 for a broader discussion of observability). For sequential ‘estimation (filtering or prediction), the structure of the problem is shown in Fig, 5.2. One has available a process model corrupted by a noise process &¢) due to ither unknown disturbances or model error. In addition one has a corrupted oar Frau remn Pa) endif ged x en im) ES Norms +6 Form to so Te beets: “opty 2 Mean and sovance o keene ttipu cron 4. Inputs. tear outputs, yt) Figure $2 The structure ofa sequential estimation device.