Optimal post-experiment estimation of poorly modeled dynamic systems

Recently, a novel strategy for post-experiment state estimation of discretely-measured dynamic systems has been developed. The method accounts for errors in the system dynamic model equations in a more general and rigorous manner than do filter-smoother algorithms. The dynamic model error terms do not require the usual process noise assumptions of zero-mean, symmetrically distributed random disturbances. Instead, the model error terms require no prior assumptions other than piecewise continuity. The resulting state estimates are more accurate than filters for applications in which the dynamic model error clearly violates the typical process noise assumptions, and the available measurements are sparse and/or noisy. Estimates of the dynamic model error, in addition to the states, are obtained as part of the solution of a two-point boundary value problem, and may be exploited for numerous reasons. In this paper, the basic technique is explained, and several example applications are given. Included among the examples are both state estimation and exploitation of the model error estimates.