An Extended Zonotopic and Gaussian Kalman Filter (EZGKF) merging set-membership and stochastic paradigms: Toward non-linear filtering and fault detection

A framework merging the set-membership and the stochastic paradigms is formalized and used to design an Extended Zonotopic and Gaussian Kalman Filter (EZGKF) dealing with the robust state estimation and the fault detection of uncertain discrete-time nonlinear systems. The so-called Set-membership and Gaussian Mergers (SGM) are introduced and particularized to Zonotopes (ZGM). They provide a constructive and computationally efficient solution to propagate random uncertainties with incompletely specified probability distributions combining set-based support enclosures and upper covariance matrix bounds formalized as matrix inequalities. Based on a full time-varying LPV enclosure featuring structured state matrix uncertainties, and given some confidence level expressed in probabilistic terms (maximal false alarm rate), a detection test is developed and shown to merge the usually mutually exclusive benefits granted by set-membership techniques (robustness to the worst-case within specified bounds, domain computations) and stochastic approaches (taking noise distribution into account, probabilistic evaluation of tests). A numerical example illustrates the state estimation capabilities of EZGKF and the improved tradeoff between the sensitivity to faults and the robustness to disturbances/noises.