Joint State-Parameter Estimation A Filtering Approach

FIGURE 4 Amount of correction on the measurements after joint parameter and data reconciliation for case 5 in Table 2. 

DYNAMIC JOINT STATE-PARAMETER ESTIMATION A FILTERING APPROACH 

The problem of state-parameter estimation in dynamic systems is considered in terms of decoupling the estimation procedure. By using the extended Kalman filter (EKF) approach, the state-parameter estimation problem is defined and a decoupling procedure developed that has several advantages over the classical approach. 

Following Bortolotto et al. (1985), let us consider the dynamic system governed by the following stochastic model  

Furthermore, matrices F, C, and Ho may depend, in general, on a finitedimensional vector 6 that must be determined. The EKF approach for determining the unknown vector a involves extending the state vector x with the parameter 6 thus. 

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