The unscented Kalman filter (UKF) is widely used in many fields. When the unscented Kalman filter is combined with the H∞ filter (HF), the obtained unscented H∞ filtering (UHF) is very suitable for state estimation of nonlinear non-Gaussian systems. However, the application of state estimation is often limited by physical laws and mathematical models on some occasions. The standard unscented H∞ filtering always performs poorly under this situation. To solve this problem, this paper improves the UHF algorithm based on state constraints and studies the UHF algorithm based on the projection method. The standard UHF sigma points that violate the state constraints are projected onto the constraint boundary. Firstly, the paper gives a broad overview of H∞ filtering and unscented H∞ filtering, then addresses the issue of how to add constraints using the UHF approach, and finally, the new method is tested and evaluated by the gas-phase reversible reaction and the State of Charge (SOC) estimation examples. Simulation results show the validity and feasibility of the state-constrained UHF algorithm.
A New Constrained State Estimation Method Based on Unscented H∞ Filtering
