Strong tracking filtering of nonlinear time-varying stochastic systems with coloured noise: Application to parameter estimation and empirical robustness analysis

The strong tracking filter (STF) proposed by Zhou et al. in 1992, which was developed for nonlinear systems with white noise, is extended to a class of nonlinear time-varying stochastic systems with coloured noise. A new concept of 'softening factor' is introduced to make the state estimator much smoother; its value can be preselected by computer simulations via a heuristic searching scheme. The STF is then used to estimate the parameters of a class of nonlinear time-varying stochastic systems in the presence of coloured noise. The robustness against model uncertainty of the STF is thoroughly studied via Monte Carlo simulations. The results show that the STF has strong robustness against model-plant parameter mismatches in the statistics of the initial conditions, the statistics of the process noise and the measurement noise, the system parameters, and the parameters in the measurement noise model. To a great extent the STF can give bias-free parameter estimations, where the parameters may be randomly time varying with unknown changing law.