Kalman filtering with inequality constraints for turbofan engine health estimation

Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state-variable constraints (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. Thus, two analytical methods to incorporate state-variable inequality constraints into the Kalman filter are now derived. The first method is a general technique that uses hard constraints to enforce inequalities on the state-variable estimates. The resultant filter is a combination of a standard Kalman filter and a quadratic programming problem. The second method uses soft constraints to estimate those state variables that are known to vary slowly with time. (Soft constraints are constraints that are required to be approximately satisfied rather than exactly satisfied.) The incorporation of state-variable constraints increases the computational effort of the filter but significantly improves its estimation accuracy. The improvement is proven theoretically and simulations are used to show that the proposed algorithms can provide an improved performance over unconstrained Kalman filtering.

[1]  B. Friedland Treatment of bias in recursive filtering , 1969 .

[2]  A.H. Haddad,et al.  Applied optimal estimation , 1976, Proceedings of the IEEE.

[3]  T. M. Williams,et al.  Practical Methods of Optimization. Vol. 1: Unconstrained Optimization , 1980 .

[4]  John R. Szuch,et al.  An automated procedure for developing hybrid computer simulations of turbofan engines , 1981 .

[5]  Philip E. Gill,et al.  Practical optimization , 1981 .

[6]  Walter Merrill Identification of multivariable high performance turbofan engine dynamics from closed loop data , 1982 .

[7]  W. M. Bruton,et al.  Automated procedure for developing hybrid computer simulations of turbofan engines. Part 1: General description , 1982 .

[8]  T. M. Williams Practical Methods of Optimization. Vol. 2 — Constrained Optimization , 1982 .

[9]  J. R. Szuch,et al.  Digital computer program for generating dynamic turbofan engine models (DIGTEM) , 1983 .

[10]  R. Fletcher Practical Methods of Optimization , 1988 .

[11]  F. S. Bhinder,et al.  Simulation of Aircraft Gas Turbine Engines , 1990 .

[12]  H. H. Lambert,et al.  A simulation study of turbofan engine deterioration estimation using Kalman filtering techniques , 1991 .

[13]  Roman Z. Morawski,et al.  Incorporation of a positivity constraint into a Kalman-filter-based algorithm for correction of spectrophotometric data , 1992 .

[14]  David L. Doel,et al.  TEMPER - A gas-path analysis tool for commercial jet engines , 1992 .

[15]  David L. Doel,et al.  An Assessment of Weighted-Least-Squares-Based Gas Path Analysis , 1993 .

[16]  Joseph Bentsman,et al.  Minimax long range parameter estimation , 1994, Proceedings of 1994 33rd IEEE Conference on Decision and Control.

[17]  Chi-Tsong Chen,et al.  Linear System Theory and Design , 1995 .

[18]  Petros G. Voulgaris,et al.  On optimal ℓ∞ to ℓ∞ filtering , 1995, Autom..

[19]  Dan Simon,et al.  Hybrid Kalman / Minimax Filtering in Phase-Locked Loops , 1996 .

[20]  Hendrik Van Brussel,et al.  A Smoothly Constrained Kalman Filter , 1997, IEEE Trans. Pattern Anal. Mach. Intell..

[21]  Y. S. B. Najjar,et al.  Comparison of modelling and simulation results for single and twin-shaft gas turbine engines , 1998 .

[22]  Hans R. Depold,et al.  The Application of Expert Systems and Neural Networks to Gas Turbine Prognostics and Diagnostics , 1998 .

[23]  Michael J. Roemer,et al.  Advanced diagnostics and prognostics for gas turbine engine risk assessment , 2000, 2000 IEEE Aerospace Conference. Proceedings (Cat. No.00TH8484).

[24]  Ali H. Sayed,et al.  A framework for state-space estimation with uncertain models , 2001, IEEE Trans. Autom. Control..

[25]  Takahisa Kobatashi,et al.  A Hybrid Neural Network-Genetic Algorithm Technique for Aircraft Engine Performance Diagnostics , 2001 .

[26]  Zhiwu Xie,et al.  Extensible object model for gas turbine engine simulation , 2001 .

[27]  D. Simon,et al.  Kalman filtering with state equality constraints , 2002 .

[28]  Allan J. Volponi,et al.  The Use of Kalman Filter and Neural Network Methodologies in Gas Turbine Performance Diagnostics: A Comparative Study , 2000 .

[29]  Branko Ristic,et al.  Beyond the Kalman Filter: Particle Filters for Tracking Applications , 2004 .

[30]  Branko Ristic,et al.  Bearings-Only Tracking of Manoeuvring Targets Using Particle Filters , 2004, EURASIP J. Adv. Signal Process..

[31]  Graham C. Goodwin,et al.  Constrained Control and Estimation , 2005 .