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-, “Asymptotic stabilityandinstability of large-scale systems” IEEE Trans.
A u t o m ~Contr., vol. AC-18, pp. 63-5. Des. 1973.
0 . D. Siljak, Tompetitive economic systems: Stability, decomposition and aggre-
gation,” in Proc. 1973 IEEE Con$ Decision and Control, pp. 265-275.
A. N. Micbel, “Stability analysis of interconnected systems,” 1. S I A M Conrr., ser.
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D. W. Porter and A. N . Michel, “Input-output stability of time-varying nonlinear
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AC-19, pp. 422-427, Aug. 1974.
A. N . Michel. “Stability analysis and trajectorybehavior of wmposite systems,”
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Conrr. (short Papers), vol. 20, pp. 2 6 2 5 0 , Apr. 1975.
E. Wong, Srochastic Processes in Information and Dynanicnl System. New Yo&:
McGraw-Hill, 1971.
H. Kushner, Srochastic Stabiliry and Control. New York: Academic, 1967.
H. Kushner, Imroduction to Stochastic Control. New York:Holt, Rinehast and
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The Simultaneous On-Line Estimation of Parameters
and States in Linear Systems
LAWRENCE W. NELSON, M E ~ E R IEEE
, AND EDWIN STEAR,
MEMBER,IEEE
Abstract-Thepracticalimplementation of adaptive controllers using
minicomputers requires algorithms which are both numerically economical
and robust. The problem of combined state and parameter estimation for
adaptive controllers was originally posed as a nonlinear fiitering problem.
The only known nonlinear fdter which can be practically implementedon a
small computer is the extended Kalman filter. The extended Kalmao filter,
however, often diverges,thus, there is a need for economic4 robust
parameter-stateestimators. A simplesuboptimalparameterand state
estimator is presented which f f i this need. The fiiter is based on a
particular canonical form for the state-space equations of a linear system
which allows the parameters and states to be estimated separately rising
two linear estimators. If an innovationsmodel is used, the steady-state
Kalman fiier gains can be estimated and thus, during steady-state opera-
tion, the estimates of the states can be easily obtained. Nnmerical exam-
ples are presented which demonstrate the increased robustness and speed
of the proposed linear estimator over the extended Kalman filter.
1. INTRODUCTTOK
The practical implementation of adaptive controllers dictates the use
of minicomputers and/or microprocessors.These computers are often
not equipped with hardware multiply and divide and thus are ratherslow
computationally. This places a severe restriction on the controller algo-
rithmused. Thus, aneed for numerically economicalandrobust
algorithms clearly exists.
The combined parameter and state estimation problem was originally
posed as a nonlinear estimation problem by augmenting the state vector
with the unknown parameters of the state space equations. Kopp and
Orford [I] and Farison et al. [2] proposed the extended Kalman filter to
solve the resultingnonlinearfiltering problem; however, the extended
Kalman filter, whilebeing computationally feasible, is prone to diver-
gence. This is due partially to the fact that the extended Kalman filter is
based on a linearization about the current estimate. If the a priori state
estimates are poor, or if later estimates should take the filter out of the
linearregion, the estimates often diverge. Furthermore, the conditions
Manuscript received March 7, 1974; revised October 20, 1975. Paper recommended by
H.W. Sorenson, Chairman of d e IEEE S C S Estimation and Identification Committee.
This work wassupportedby d e Air Force Office of Scientific ResearchunderGrant
AFOSR 72-2166.
The authors are with the Department of Electrical Engineering and Computer Science,
University of California, Santa Barbara, CA 93106.
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, FEBRUARY 1976
using this method have not beencompletelysatisfactory and, so, ap-
proximation to optimal nonlinear filters of greatercomplexity are re-
sorted to [3]. Holmstevdt [4] has applied nonlinear observability theory
to this problem.Observabilityiscertainly a necessary condition for
convergence of the filter. Otherwise little is known theoretically about
the convergence properties of the extended Kalman filter.
Several approacheshavebeentaken to eliminatetheproblems
associatedwith the extended Kalman filter. Schmidt [ 5 ] and Neal [6]
proposed theaddition of terms to thegain of theKalman filter to
prevent divergence. Except for the work of Schaefer and Nahi [7], the
approach remains ad hoc. Thus, the method eitherrequiresextensive
“tuning” oraddstothecomputationalburden, either of whch isa
disadvantage in practicalon-lineapplications. M a d [SI and Hilborn
and Lainiotis [9] considered the problemusingdecisiontheoryby
assuming the unknown parameters came from a finite set; however, this
requires the use of n parallel Kalman filters, which is totally impractical
for many applications.
Saridis and Stein [ 111 proposed a stochastic approximation algorithm
to estimate the parameters of single input-single output systems. Mehra
[I21 usedcorrelationtechniquesfor the singleinput-single output sys-
tems and also presents an extension for multivariable systems. However,
no computation results were presented for the multivariable case. Budin
[I31 presentedresults for multivariablesystems but requires that the
covariance of the noises be known in order toobtainan unbiased
estimate of the parameters.
Practical experience with the extended Kalman filter and the above
observations motivated the development of a computationally economi-
cal and robust parameter and state estimator. The filter proposed here
separates the problem into two estimators. This approach is based upon
the observation that the problem of estimating only the parameters of a
linear system with no state noise is a linear estimation problem while the
estimation of the states of a linear system given the parameters is also a
linear estimation problem. The combined parameter and state estimator
of this short paper first estimates only the parameters of the model and
then uses these estimates in a linear Kalman filter to estimate the states
of thesystem. The structure of the estimator isshowninFig. 1. This
separation of the problem is made possible by a canonical form of the
state space equations whichallowsthe parameters of an input-output
model to be uniquely related to the parameters of the canonical state
spacemodel. If an innovationsmodel is identified, the steady-state
Kalman filter gain coefficients are identlfied and the state estimates are
easily obtained during steady-state operation.
In Section I1 the problem is defined. In Section 111 the parameter
estimator is presented, the canonical form is established and the relation-
ship of the estimatedparameters to the parameters of the state-space
canonical model is shown. In Section IV the state estimator is presented
and the consistency of the combined estimator is shown. Some numeri-
cal results are presented in Section V comparing the adaptive estimator
of this short paper to the extended Kalman filter.
11. h O B L w i STAMEhT
We assume that measured inputs and outputs are generated by the
following discrete-time, cyclic, stable system:
x(k+l)=~x(k)+~u(k)+ro(k)
(1)
y(k)=Hx(k)+v(k)
where x ( k ) is the n-dimensional state, u ( k ) is the mdmensional input,
y ( k ) is the p-dimensional measured output, w(k) is the r-dimensional
state noise, and v(k) is the p-dimensional output noise. The system is
assumed tobe completelycontrollable and observable. The random
processes w ( k ) and v(k) areGaussianandare assumed to have the
following statistics:
E { v ( t ) }= E { w ( k ) } = O
SHORT PAPERS 95

PARAMETE!
4
A relationship between the elements of the and the coefficients of
INPUT- PARAEIETEQ the 9 , A, r?and H matrices must now be established. Simple algebraic
OUTPUT ESTI?RTES manipulations will establish a map-from the parameter space of 9 , A, r,
DATA
and H to the parameter space of Oi. The existence of the unique inverse
map will not be proven here but will be demonstrated by example.
Consider again the models of (3). Let q be the observability index of
LIhTAR
STATE (3). Then consider the following set of q+ 1 equations:
STATE
ESTIXATES
ESTIMATOR
y(k)=Hx(k)+e(k)
Fig. 1. Structure of the estimator. y(k+l)=H(Px(k)+HAu(k)+e(k+l)+HK*e(k)

The problem then is to obtain consistent estimates of the parameters and y(k+q-l)=H@,-?y(k)+HA~(k+q-2)
states of the following model:
+H(PAu(k+q-33)+...
x(k+l)=@x(k)+Au(k)+K*e(k)
(3) +H4W2Au(k)+e(k+q-1) (8)
y(k)=Hx(k)+e(k).
+HK*e(k+q-2)+.-. +HW-'K*e(k)
Note that this is a special case of the system given by (1) where A ( k ) = I.
y(k+q)=H9qx(k)+HAu'(k+q-l)
This is the inverse innovations filter and thus K* = (PK where K is the
steady-state Kalman gain matrix. It is further assumed that the dimen- +H@A~(k+q-2)+...
sions n, m,p, and r are known. Thus, e ( k ) are the innovations and are a +HW-'~u(k)+e(k+q)
white Gaussian process [ 121.
+HK*e(k+q-l)+... +HW-'k*e(k).
111. THE ON-LINEPARAMETER ESTIMATOR The first q equations of (8) may be written compactly as
In order to obtain estimates of the parameters of (3), it is necessary to Y,(k)=Lx(k)+MU,(k)+NE,(k)
eliminate the state vector from (3) and obtain a relationship which only
involves the input., output, and the innovations. Since the system gener- where
ating the measured data is observable, we h o w that it is possible to
obtain such relationships. Valis[17] discusses such state free descrip- Y,(k)~:[y=(k),y=(k+l),...,y=(k+q-l)lT
tions. Thus, each componentof the output equation in (3), yi(k), can be
written in terms of the system's inputs, outputs, innovations, and aset of U,(k) ~ [ u T ( k ) , u r ( k + l ) , . . . , u T ( k + q - l ) ] '
parameters arranged in avector denoted by Oj. This relationship has the
form E,(k)=[eT(k),er(k+l),...,eT(k+q-l)]T
yi(k)=zT(k)ei(k)+ei(k) (4) and
where
ZT=[U'(k-l);..,uT(k-q)

Further, assume that any time variability of the parameters Oi(k) can be
modeled by a random walk, that is

Oi(k+l)=Oi(k)+wi(k) (5)
where w ( k ) is assumed to be a zero-mean, white, Gaussian process with
covariance W ( k ) . Notice that (4) and (5) taken together form a single-
output system in which the parameters Oi(k) form the state vector and
L is a truncated observability matrix. Since q is the observability index,
the output is a weighted combination of the states where the weighting
L has at least rank n. By a suitable choice of basis vectors for the state
matrix is time varying and composed of previous inputs, outputs and
space, the first n rows of the matrix L can be made to equal theidentity
innovations. If the parameters are truly time invariant, then w ( k ) is not
matrix. With this choice of basis vectors, (9) can be easily solved for the
included in (5). We apply Kalman's results [l5] immediately to (4) and state vector x ( k ) .
(5) to obtain the following estimator:
x ( k ) = Y,(k)-MU,(k)-NE,(k). ( 12)
4(k)=~.(k-l)+K,(k-I)[y,(k)-Z~(k-l)4(k-1)1
Equation (12) may then be substituted into the last equation in (8) and
K,(k)=Pi(k-l)Z(k)[ZT(k)Pi(k-l)Z(k)+l]-' the desired relationship is established. This choice of basis vectors
Pi(k)=[Z-K(k)ZT(k)lPi(k-l)+W(k). (6) establishes the canonical form of the state-space equations, namely that
the matrices H and (P have the following form:
The only problem with (6)is that the innovations are really not known
until the estimates converge and thus must be estimated. A reasonable
estimate of the innovations is

~i(k)=yi(k)-Z=(k-l)~(k).
A similar parameter estimator forthe single input-single output case was
proposedbyPauuska [14]. A detailed discussion of the convergence
properties of (6) and (7) can be found in [ 101.
(7)
where W is a p X n matrix and Zp is a p Xp identity matrix, and 0 is a null
matrix of appropriate dimension.
A simple example at this point will establish the significance of the
canonical form. Consider the following two input-two output third-order
96 IEEE TRANSACTIONS ON AUTOMATIC CONTROL, FEBRUARY 1976

systemgiven in canonicalform. The noise-free case is considered The error of the estimate is then
without loss of generality.
x ( k l k ) = [ I - K ( k ) H I [ ~ ( k ) + 6 ( k ) l x ( kIlk-
- 1)
0 0 + [ I - K(k)Hk(k)w(k)
+[I-K(k)HIa(k)u(k-l)-K(k)v(k) (22)

where 6 ( k ) and ( k ) are the unknown errors in @ and A, respectively.

Since the model is obtained from a consistent identifier, then

plim[~(k),d(k)l-t[~(k),A(k)l
k-rn

plim[6(k),i(k)l+[O,01
k-rlo

and thus, as k - m , (22) becomes in the limit

x(klk)=(I-K*H)@x(klk)+(I-K*H)Tw(k)+K*v(k)
where K' is the optimal gain matrix.

v. EXPERMENTAL RESULTS

This section presents the results of some numerical experiments which

compare the performance of the extended Kalman filter to the adaptive
estimator of this short paper. Two systemswereusedforcomparison
purposes. The first was a single input-single output second-order system,
while the second was a single input-two output system of third order.
A . Results for the Single Input-Single Output System
The following second-order linear system given in canonical form was
used to compare the two estimators:

y(k)=[l Olx(k)+v(k)
where the scalar processes o(k) and v ( k ) have the following statistics:
E{w(k)}=E(v(k)}=O
E { v(k)v(j)}=o.lsk-j
E { w ( k ) o ( j ) }=O.lSk-,.

Furthermore,theinput is also a random processwith the following

Note that the parametersof (19) and (20) are uniquely related to those of
the innovationsmodel. Noticealsothattheparameters of twoscalar
output equations are to beestimated, thus no matrixinversionisre-
quired in estimating the model parameters.
IV. THESTATEESTIMATOR
The state estimatorused by the authors for numerical experiments was
a linear Kalman-Bucy filter. Although no special precautions were taken
to insure that the filter converged, in the examples tried so far this was
not a problem. It is evident, however, that divergence could result from
poor initial parameter estimates. Clearly some modification of the state
estimate covariance matrix should be made to account for the errors in
the parameter estimates. This remains an area of future investigation.
There may be some efficient algorithmic method to accomplish this since
we can obtain a measure of the accuracy of the parameter estimates.
After thestart-up transientshavesubsided andtheparameter esti-
mates haveconvergedsufficiently, thestate estimates can beeasily
obtained by using the innovations model and the estimated steady-state
gains.
If the parameter estimates are consistent, their use in the Kalman filter
should produce at least an asymptotically consistent state estimator in
the sense that the estimates will converge in a probabilistic sense to the
estimaies of theoptimalstate filter. To show this, assumethat
[@(k),A(k),HI is the model used for estimation at time k , then the state
estimate is
statistics:
E { u ( t ) } =o E {Id%)} = 1.0
and is independent of both the process and measurement noises. The
extended Kalman filter obtained estimates of thestates and the four
unknown parameters of the and A matrices. The adaptive filter
additionally estimates the two unknown Kalman gain parameters. The
results of a typical run for both estimators are shown in Figs. 2 and 3,
respectively. The performances of both estimators are quite satisfactory
for the run shown. It should be mentioned, however, that the extended
Kalman filter did not always behave so nicely. For example, if the null
vector was used as the initial state estimate, the estimates quickly blew
up and overflow resulted after about 15 time steps. The adaptive filter,
on the other hand, displayed no such instability for this initial condition.
The extended Kalman filter was also unstable if the initial estimates had
the wrong sign.
Although the adaptive estimator estimated two additional parameters,
the time required for a run of 500 samples was 10 percent shorter than
for the extended Kalman filter. Thus.
this example demonstrates that the
goals of robustness and economy have been achieved.
B. Results for a Single Input-Two Output System
To demonstrate the application of the adaptive filter to multivariable
systems, the following third-order system given in canonical form was
used:

G(klk-I)=$(k)G(k-llk-l)+i(k)u(k-l)
G(klk)=G(klk-l)+K(k)[y(k)-HG(klk-l)]. (21)
0
0.1
0
0
0.3
0.2
1
-0.71
0.7
A=[ 81
SHORT PAPERS 91

+ I Iterations +

I I I I I
100 200 300 400 500
lcerations +

-1.0

4
Fig. 2. Results for extended K h a n filter (see Section V-A). Fig. 4. Results for extended Kalman filter (see Section V-B).

1.

I I I I L
100 200 300 400 500

Iterations +

ccz

-1.0

Fig. 3. Results for adaptive estimator (see Section V-A). Fig. 5. Results for adaptive estimator (see Section V-B).

VI. CONCLUSIONS

A combinedparameterandstate estimatorformultivariable linear

E{w(k)}=E{u(k)}=E{v(k)}=O
E { w ( k ) w ( j ) }= -O.lS,,
E { u ( k ) u ( j ) }= I.06,-,
E { v ( k ) u = ( j ) } =0.116,-,.
Again the results of the parameter estimates forboth estimators are
shown in Figs. 4 and 5. Althoughthe extended K h a n filter gave
reasonable results, there was some bias in the parameter estimates even
after 5000 samples. This is not surprisingsince the extended Kalman
filter is known to be a biased estimator. This was not the case with the
adaptive estimator.
discrete-time systems has been presented. This estimator has beenshown
to be both robust and numerically economical when compared to the
extended Kalman filter. The estimator is based on a separation of the
parameter and state estimation functions. This separation, while subop-
timal, accounts for the robust and efficient character of the estimator.
The separation was possible because of the use of a canonical form of
the state space equations of motion. When an innovations model is used,
the elements of the steady-state Kalman gain matrix can be estimated
and state estimates easily obtained during steady-state operation enhanc-
ing the numerical efficiency. Numerical experiments tend to substantiate
the particular advantages claimed for the adaptive estimator over the
extended Kalman filter. Extensionssuch as estimation of thenoise
98 IEEE TRANSACTIONS ON AUTOMATIC CONTROL, FEBRUARY 1976

statistics and coupling to the covariance equation for the state estimates statesand to apply the extendedKalman-Bucy filter to estimate the
from the parameter estimates appear feasible butare left for future parameters [ 11, [2]. A straightforward method using trajectory sensitivity
research. is presented in this short paper. Sensitivity analysis in optimal control
has receivedconsiderableinterest [3H6],Kahne [7], Sarma and De-
ACKNOWLEDGMEhT
ekshatulu [8], and Higginbotham [9] used the trajectory sensitivity to the
Theauthors wouldlike to expresstheir gratitude to the Technical problems of analytical design of lowsensitivitysystems. In this short
University of Norwayand to Prof. J. G. Balchen of theInstitute of paper, a Kalman filter is extended to a linear stochastic systemwith
Technical Cybernetics for their support, hospitality, and guidance while uncertain parameters. The filter gain is designed so that it minimizes a
a major portion of this work was undertaken. quadratic criterion. A suboptimal filter using a sensitivity technique is
also provided.
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11. P R O B L U l FORMC;LAT?OP.;
R. E. Kopp and R. J. Orford, “Linear regression applied to system identification for
adaptive control systems,” AIAA J., pp. 230&2306, OcL 1963. Consider a linear time-invariant stochastic systemdescribedby the
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pp. 438-442, Aug. 1967.
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the 3rd Symp. Nonlinear Estimation Theory and Its Application% Sept 1972.
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E {(~a)(~a)’)
=&ag[o;*, .;:u . ,a,?]
L.W. Nelson, “On line identification and state estimation in linear systems,” Ph.D. and is independent of the noise. The variances i,?areassumed
dissertation, Dep.Elec. Eng. Comput. Sci., Univ. California, Santa Barbara, 1975.
G.N. Sari&, and G . Stein, “Stochastic approximation algorithms for linear dis- sufficientlysmall to allow a first-orderanalysis to hold with high
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515-523, Oct. 1968.
R. K. Mehra, “On-line identification of linear dynamical systems with applications The initial condition is alsoarandom vectorwithgiven (I priori
to K h a n filtering,” IEEE Trans. Automar Conrr., vol.AC-16, pp. 12-21, Feb. statistics.
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M.A. Budin, “A new approach IO system identification andstate estimation,”
IEEE Tram. *st., Man, Cybern., vol. SMC-2, pp. 396-402 July 1972. E { x(0)) = x,; cov { x(0)) = F,.
V. Panuska, “An adaptive recursive-least-sqw identification algorithm,‘’ in Proc.
8th IEEE Symp. Adaptice Processes, 1969, paper 6-e. A Kalman type filter is designed as
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x (0)= x, (3)
Estimation, 1970, paper 1.5. where A,, Bo, C, are constant matrices equal to the nominal values of A ,
B, and C.
Expanding to first order in a,
Minimum-Sensitivity Filter for Linear
Time-Invariant I
ax
Stochastic Systemswith Uncertain Parameters x(a,l)=Xo(t)+ 2 &Yii-(t).
a%
RICHARD C . CHUNG, %EMBER, IEEE, AND PIERRE R. From (1) there follows easily
BELANGER, MEMBER EEE,
;,(r)=AOXO(r)+BO~(f)+row(t)
Abstract-A bxjectory sensitivity approach is taken to the design of a XO(0) = x0
I(alman filterfor a system with uncertain parameters. A two-point
boundaryvalueproblem (TPBVP) is formulated, where the performance and
index depends on the variances of the parameter deviations. A suboptimal
;,(t)=Aox,(t)+A,xo(t)+B,u(t)+r,w(t)
algorithm is also developed. An example shows that estimation errors may
be reduced considembly from those generated by a I(alman f i r design X,(O) =0 . (6)
for the nominal parameter values.
where the subscript cr, indicatesdifferentiation withrespect to air
I. INTRODUCTIOX evaluated at the nominal value.
Expand also
Dynamic systems in practicalapplicationsusually depend on some
1
uncertain parameters. One approach to estimation or filtering for this
kind of system is to incorporate the uncertain parameters with the plant v ( a , t ) = C,x,(t)+ c 6%{ c,x,ct,+
i= 1
CG-KJt)} +U(I) (7)

1
Manuscript received June 16,1975: revised October IO, 1975. Paper recommended by
H. W. Sorenson, Chairman of the IEEE S-CS Estimation and Identificauon Committee.
i(a,t)=i0(2)+ 2 6a,i,(t). (8)
l= 1
This work was supported in part by the National Research Council of Canada under
Grant A-4094.
R. C. Chung was with the Department of Electrical Engineering. McGill University, Use (3) and associate the zero-order terms with i, and the first-order
Montreal. P.Q., Canada.He is now wilh the Ministry of Transport, O t t a w a , Onr. terms with x,. This yields
Canada.
P.R. Belanger is aith the Department of Electrical Engineering, McGill University,
Montreal. P.Q., Canada.