Originally introduced in the fluid mechanics community, dynamic mode decomposition (DMD) has emerged as a powerful tool for analyzing the dynamics of nonlinear systems. However, existing DMD theory deals primarily with sequential time series for which the measurement dimension is much larger than the number of measurements taken. We present a theoretical framework in which we define DMD as the eigendecomposition of an approximating linear operator. This generalizes DMD to a larger class of datasets, including nonsequential time series. We demonstrate the utility of this approach by presenting novel sampling strategies that increase computational efficiency and mitigate the effects of noise, respectively. We also introduce the concept of linear consistency, which helps explain the potential pitfalls of applying DMD to rank-deficient datasets, illustrating with examples. Such computations are not considered in the existing literature, but can be understood using our more general framework. In addition, we show that our theory strengthens the connections between DMD and Koopman operator theory. It also establishes connections between DMD and other techniques, including the eigensystem realization algorithm (ERA), a system identification method, and linear inverse modeling (LIM), a method from climate science. We show that under certain conditions, DMD is equivalent to LIM.

On Dynamic Mode Decomposition: Theory and Applications

The Kalman filter is the minimum-variance state estimator for linear dynamic systems with Gaussian noise. Even if the noise is non-Gaussian, the Kalman filter is the best linear estimator. For nonlinear systems it is not possible, in general, to derive the optimal state estimator in closed form, but various modifications of the Kalman filter can be used to estimate the state. These modifications include the extended Kalman filter, the unscented Kalman filter, and the particle filter. Although the Kalman filter and its modifications are powerful tools for state estimation, we might have information about a system that the Kalman filter does not incorporate. For example, we may know that the states satisfy equality or inequality constraints. In this case we can modify the Kalman filter to exploit this additional information and get better filtering performance than the Kalman filter provides. This paper provides an overview of various ways to incorporate state constraints in the Kalman filter and its nonlinear modifications. If both the system and state constraints are linear, then all of these different approaches result in the same state estimate, which is the optimal constrained linear state estimate. If either the system or constraints are nonlinear, then constrained filtering is, in general, not optimal, and different approaches give different results.

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Kalman filtering with state constraints: a survey of linear and nonlinear algorithms

A common prerequisite for many vision-based driver assistance systems is the knowledge of the vehicle's own movement. In this paper we propose a novel approach for estimating the egomotion of the vehicle from a sequence of stereo images. Our method is directly based on the trifocal geometry between image triples, thus no time expensive recovery of the 3-dimensional scene structure is needed. The only assumption we make is a known camera geometry, where the calibration may also vary over time. We employ an Iterated Sigma Point Kalman Filter in combination with a RANSAC-based outlier rejection scheme which yields robust frame-to-frame motion estimation even in dynamic environments. A high-accuracy inertial navigation system is used to evaluate our results on challenging real-world video sequences. Experiments show that our approach is clearly superior compared to other filtering techniques in terms of both, accuracy and run-time.

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Visual odometry based on stereo image sequences with RANSAC-based outlier rejection scheme

Availability of the synchronous machine angle and speed variables give us an accurate picture of the overall condition of power networks leading therefore to an improved situational awareness by system operators. In addition, they would be essential in developing local and global control schemes aimed at enhancing system stability and reliability. In this paper, the extended Kalman filter (EKF) technique for dynamic state estimation of a synchronous machine using phasor measurement unit (PMU) quantities is developed. The simulation results of the EKF approach show the accuracy of the resulting state estimates. However, the traditional EKF method requires that all externally observed variables, including input signals, be measured or available, which may not always be the case. In synchronous machines, for example, the exciter output voltage Efd may not be available for measuring in all cases. As a result, the extended Kalman filter with unknown inputs, referred to as EKF-UI, is proposed for identifying and estimating the states and the unknown inputs of the synchronous machine simultaneously. Simulation results demonstrate the efficiency and accuracy of the EKF-UI method under noisy or fault conditions, compared to the classic EKF approach and confirms its great potential in cases where there is no access to the input signals of the system.

Dynamic State Estimation in Power System by Applying the Extended Kalman Filter With Unknown Inputs to Phasor Measurements

This paper summarizes the technical activities of the Task Force on Power System Dynamic State and Parameter Estimation. This Task Force was established by the IEEE Working Group on State Estimation Algorithms to investigate the added benefits of dynamic state and parameter estimation for the enhancement of the reliability, security, and resilience of electric power systems. The motivations and engineering values of dynamic state estimation (DSE) are discussed in detail. Then, a set of potential applications that will rely on DSE is presented and discussed. Furthermore, a unified framework is proposed to clarify the important concepts related to DSE, forecasting-aided state estimation, tracking state estimation, and static state estimation. An overview of the current progress in DSE and dynamic parameter estimation is provided. The paper also provides future research needs and directions for the power engineering community.

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John B Moore

Papers

Optimal State Estimation