State estimation for linear and non-linear equality-constrained systems

Abstract

This article addresses the state-estimation problem for linear and non-linear systems for the case in which prior knowledge is available in the form of an equality constraint. The equality-constrained Kalman filter (KF) is derived as the maximum-a-posteriori solution to the equality-constrained state-estimation problem for linear and Gaussian systems and is compared to alternative algorithms. Then, four novel algorithms for non-linear equality-constrained state estimation based on the unscented KF are presented, namely, the equality-constrained unscented KF, the projected unscented KF, the measurement-augmentation unscented KF, and the constrained unscented KF. Finally, these methods are compared on linear and non-linear examples.