Observers from observability Gramian conditions

Observer Design for Continuous-Time Dynamical Systems

V. Andrieu, D. Astolfi, P. Bernard

CNRS, Université de Lyon, LAGEPP

Mines Paris, Université PSL

02/05/2022 - 06/05/2022

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 1 / 11

 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Part 3
Observers from observability Gramian conditions

State-affine normal forms with linear output

Uniform complete observability, regular persistence
Kalman or Kalman-like designs
Extended Kalman Filter
Linearization by output injection

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 2 / 11

 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Literature

Kalman & Bucy filter :

R.E. Kalman, R.S. Bucy, New results in linear filtering and prediction theory, JBE, 1961

Kalman-like observer:

G. Bornard, N. Couenne, F. Celle Regularly persistent observers for bilinear systems, Springer, 1989

H. Hammouri, J. De Leon Morales, Observer synthesis for state-affine systems, CDC, 1990

Linearization by output injection:

A.J. Krener, A. Isidori, Linearization by output injection and nonlinear observers, SCL, 1983

A.J. Krener, W. Respondek, Nonlinear observers with linearizable dynamics, SIAM, 1985

M. Fliess, I. Kupka finiteness criterion for nonlinear input-output differential systems, SIAM, 1983

P. Jouan, Immersion of nonlinear systems into linear systems modulo output injection, SIAM, 2003

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 3 / 11

 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Observability in state-affine normal forms

State-affine normal form

ż = A(y , t) z + ϕ(y , t) , y = C (t) z

Observability in time t̄:

C (t)za (t) = C (t)zb (t) ∀t ∈ [0, t̄] =⇒ za (0) = zb (0)

Constructibility/determinability/backward distinguishability in time t̄:

C (t)za (t) = C (t)zb (t) ∀t ∈ [0, t̄] =⇒ za (t̄) = zb (t̄)

Conditions on (A, C ) to guarantee observability/constructibility ?

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 4 / 11

 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Observability Gramians

Observability Gramians
For a given signal t 7→ y (t), the observability Gramian on [t0 , t1 ] :
Z t1
Gy (t0 , t1 ) = Ψy (τ, t0 )> C (τ )> C (τ )Ψy (τ, t0 )dτ ,
t0

and the constructibility/backward Gramian :

Z t1
Gyb (t0 , t1 ) = Ψy (τ, t1 )> C (τ )> C (τ )Ψy (τ, t1 )dτ ,
t0

where Ψy is the transition matrix associated to the linear dynamics

χ̇ = A(y , t) χ, namely the unique solution to
∂Ψy
(τ, t) = A(y (τ ), τ )Ψy (τ, t) , Ψy (t, t) = I .
∂τ

Observable in time t̄ if and only if for any z0 , Gy (0, t̄) invertible !

Constructible in time t̄ if and only if for any z0 , Gyb (0, t̄) invertible !
Beware of the dependence on y and thus z(0) !
V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 5 / 11
 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Gramian conditions for observer design

Kalman’s uniform complete observability (UCO) :

there exists αi > 0, αi0 > 0 and t̄ > 0 such that

0 < α1 I ≤ G b (t − t̄, t) ≤ α2 I ∀t .

0 < α10 I ≤ G(t − t̄, t) ≤ α20 I ∀t .

If A is bounded, (α1 , α2 ) is enough;

If both A and C are bounded, α1 is enough.

When time-dependence through u : regular persistent inputs

Uniform differential observability sufficient for UCO

Let’s try on an example !

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 6 / 11

 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Kalman/Kalman-like observer design

Kalman observer [Kalman & Bucy, 1961]

stochastic context (independent white-noise disturbances on initial
condition, dynamics and output)

optimal estimate ẑ(t) of z(t) minimizing at each time t the conditional

expectation
E |ẑ(t) − z(t)|2 | y[0,t]

assuming known the covariance of each noise process.

Kalman-like observer [Bornard & Couenne & Celle, 1989]

deterministic context

at each time t, estimate ẑ(t) chosen as ẑ(t) = Ψy (t, 0)ẑ O , where

Z t
ẑ O = argmin e −λt kẑ0 −ẑ O kΠ−1 + e −λ(t−τ ) ky (τ )−C (τ )Ψy (τ, 0)ẑ O kR −1 dτ ,
0 0
for some positive matrices Π0 and R.

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 7 / 11

 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Kalman/Kalman-like observer design

Optimal trajectories ẑ(t) solution to an observer of the form

ẑ˙ = A(y , t) ẑ + ϕ(y , t) + ΠC (t)> R −1 (t) (y − C (t)ẑ)

Π̇ = A(y , t)Π + ΠA(y , t)> − ΠC (t)> R −1 (t)C (t)Π + λΠ + Q(t)

or, equivalently, with P −1 = Π,

ẑ˙ = A(y , t) ẑ + ϕ(y , t) + P −1 C (t)> R −1 (t) (y − C (t)ẑ)

Ṗ = −PA(y , t) − A(y , t)> P + C (t)> R −1 (t)C (t) − λP − PQ(t)P

with R > 0 and

Kalman design: λ = 0, Q > 0

Kalman-like design: λ > 0, Q = 0.

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 8 / 11

 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Kalman-like observer design

Kalman-like observer
If for any solution t 7→ z(t) with output y ,
A and C are bounded by a and c
Gyb (t − t̄, t) ≥ αI ∀t ≥ t0
Then, ∀λ > 2a, ∀Π(0) > 0, ∀R(t) > r I , there exists c > 0 such that the
Kalman-like observer with Q = 0 and any z(0), ẑ(0) gives
λ
|ẑ(t) − z(t)| ≤ ce − 2 (t−t0 ) |ẑ(0) − z(0)| ∀t ≥ t0 .

Let’s prove it !

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 9 / 11

 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Extended Kalman filter

ẋ = f (x, t) , y = h(x, t)
Extended Kalman filter

x̂˙ = f (x̂, t) + ΠC (x̂, t)R −1 (y − h(x̂, t))

Π̇ = A(x̂, t)Π + ΠA(x̂, t)> + Q + λΠ − ΠC (x̂, t)> R −1 (t)C (x̂, t)Π

with Q > 0, R > 0 and

∂f ∂h
A(x, t) = (x, t), C (x, t) = (x, t).
∂x ∂x
widely popular in industry...
... but apart from particular structures (triangular, with symmetries, etc)
no theoretical guarantee of convergence !
only local convergence proved under ad-hoc uncheckable condition

pI ≤ Π(t) ≤ pI ∀t ≥ 0

but depends on x̂ !
V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 10 / 11
 Observability Gramian
Observers from observability Gramian conditions Kalman/Kalman-like observer design
Linearization by output injection

Linearization by output injection

State-affine normal form
ż = A(y , t) z + ϕ(y , t) , y = C (t) z

transformation into state-affine form with constant pair (A, C ) equivalent

to transformation into [Jouan, 2003]
ż1 = z2 + ϕ1 (z1 , t)


..



.



żi = zi+1 + ϕi (z1 , t) y = z1 ,


 ..



 .
żm = ϕm (z1 , t)

huge literature, restrictive geometrical conditions

finiteness criterion of the observation space for varying pair (A, C )

[Fliess & Kupka, 1983]

Let’s try on examples !

V. Andrieu, D. Astolfi, P. Bernard Observer Design for Continuous-Time Dynamical Systems 11 / 11