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Kalman filter-based optimizer and method and optimizing

  • US 5,115,391 A
  • Filed: 01/26/1990
  • Issued: 05/19/1992
  • Est. Priority Date: 01/26/1990
  • Status: Expired due to Term
First Claim
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1. Apparatus comprising:

  • a filter having first and second input ports an output port, which filter develops at said output port an estimate of the state of a system whose observable output corresponds to the input signal applied to said first input port, and whose output matrix, which relates said observable output to the current state of said system, corresponds to the input signal to said second input port;

    a combiner responsive to said output port of said filter, to a first input port of said apparatus, and to a second input port of said apparatus, where said first input port of said apparatus is adapted to receive a collection of signal elements representative of a matrix A, said second input port of said apparatus is adapted to receive a collection of signals representative of a vector c, and said combiner develops an output signal γ

    that is proportional to c-AT w, where w is the signal at said output port of said filter, where AT is the transpose of of matrix A and AT w is the product of the matrix AT by the vector w;

    a processor responsive to said outpput port of said filter, to said first input port of said apparatus, to said second input port of said apparatus, and to the signal γ

    , for developing a replacement control signal candidate, x(k+1), based on said γ

    , A, c, and a current control signal candidate, x(k), and for incrementing k, where k is an integer,means for developing a signal Dx(k), a signal Dx(k) c, and a signal AT Dx(k), where Dx(k) represents a diagonal matrix with the values of x(k) on the diagonal;

    means for applying said Dx(k) c signal to said first input port of said filter, and said AT Dx(k) signal to said second input port of said filter; and

    means for applying said x(k) signal to an output port of said apparatus.

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