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Optimal filtering for systems governed by coupled ordinary and partial differential equations

Citation

Yu, Thomas King Lin (1973) Optimal filtering for systems governed by coupled ordinary and partial differential equations. Dissertation (Ph.D.), California Institute of Technology. http://resolver.caltech.edu/CaltechTHESIS:10202017-140716441

Abstract

The recursive estimation of states or parameters of stochastic dynamical systems with partial and imperfect measurements is generally referred to as filtering. The estimator itself is called the filter. In this dissertation optimal filters are derived for three important classes of nonlinear stochastic dynamical systems.

The first class of systems, considered in Chapter II, is that governed by stochastic nonlinear hyperbolic and parabolic partial differential equations in which the dynamical disturbances in the system and in the boundary conditions can be both additive and nonadditive. This class of systems is important for it encompasses a large group of systems of practical interest, such as chemical reactors and heat exchangers. The optimal filter obtained can estimate, not only the state, but also constant parameters appearing at the boundary and in the volume of the system. The computational application of this filter is illustrated in an example of the feedback control of a styrene polymerization reactor.

Many physical systems contain time delays in one form or another. Often, this kind of delay system is accompanied by some other processes such as dissipation of mass and energy, fluid mixing, and chemical reaction. In Chapter III within a single framework new optimal filters are obtained for the following classes of stochastic systems:

1. Nonlinear lumped parameter systems containing multiple constant and time-varying delays;

2. Mixed nonlinear lumped and hyperbolic distributed parameter systems; and

3. Nonlinear lumped parameter systems with functional time delays.

The performance of the filter is illustrated through estimates of the temperatures in a system consisting of a well-stirred chemical reactor and an external heat exchanger.

In Chapter IV filtering equations are derived for a completely general class of stochastic systems governed by coupled nonlinear ordinary and partial differential equations of either first order hyperbolic or parabolic type with both volume and boundary random disturbances. Thus, the results of Chapter III can be shown to be a special case of those obtained in Chapter IV.

A related important concept to filtering is observability. For deterministic linear lumped parameter systems, observability refers to the ability to recover some prior state of a dynamical system based on partial observations of the state over some period of time. Under certain conditions, observability of the corresponding deterministic system is a sufficient condition for convergence of the optimal linear filter for a linear system with white noise disturbances. In Chapter V the concept of observability and filter convergence is developed for a class of stochastic linear distributed parameter systems whose solutions can be expressed as eigenfunction expansions. Two important questions examined are: (1) the effect of measurement locations on observability, and (2) the optimal location of measurements for state estimation.

Item Type:Thesis (Dissertation (Ph.D.))
Subject Keywords:Electrical Engineering
Degree Grantor:California Institute of Technology
Division:Engineering and Applied Science
Major Option:Electrical Engineering
Thesis Availability:Public (worldwide access)
Research Advisor(s):
  • Seinfeld, John H.
Thesis Committee:
  • Unknown, Unknown
Defense Date:22 February 1973
Funders:
Funding AgencyGrant Number
NSFUNSPECIFIED
NASAUNSPECIFIED
Francis J. Cole Memorial Foundation FellowshipUNSPECIFIED
Ford FoundationUNSPECIFIED
CaltechUNSPECIFIED
Record Number:CaltechTHESIS:10202017-140716441
Persistent URL:http://resolver.caltech.edu/CaltechTHESIS:10202017-140716441
Default Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:10534
Collection:CaltechTHESIS
Deposited By: Bianca Rios
Deposited On:20 Oct 2017 21:31
Last Modified:20 Oct 2017 21:31

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