A Residuals Approach to Filtering, Smoothing and Identification for Static Distributed Systems

An approach for state estimation and identification of spatially distributed parameters embedded in static distributed (elliptic) system models is advanced. The method of maximum likelihood is used to find parameter values that maximize a likelihood functional for the system model, or equivalently, that minimize the negative logarithm of this functional. To find the minimum, a Newton-Raphson search is conducted that from an initial estimate generates a convergent sequence of parameter estimates. For simplicity, a Gauss-Markov approach is used to approximate the Hessian in terms of products of first derivatives. The gradient and approximate Hessian are computed by first arranging the negative log likelihood functional into a form based on the square root factorization of the predicted covariance of the measurement process. The resulting data processing approach, referred to here by the new term of predicted data covariance square root filtering, makes the gradient and approximate Hessian calculations very simple. A closely related set of state estimates is also produced by the maximum likelihood method: smoothed estimates that are optimal in a conditional mean sense and filtered estimates that emerge from the predicted data covariance square root filter.