State estimation with small nonlinearities

A variety of techniques is available for estimating the states of nonlinear dynamic systems from noisy data. The differences among several of these procedures in the presence of small dynamic and observational nonlinearities are investigated. Four discrete estimation algorithms are analyzed. The first is a strictly least square estimator, while the others are recursive algorithms similar to the Kalman filter used for estimating the states of linear systems. A group of analytic expressions is developed for the mean and covariance of the error in each of these estimators so that they may be compared without lengthy Monte Carlo simulations. The covariance expressions show that, to first order, all the estimators have the same covariance. Expressions for the means show that each estimator has a different bias. Several examples are carried out demonstrating that the relative magnitudes of the bias errors in the various estimators can be a strong function of such parameters as initial covariances and number of data points. Under some circumstances, more complicated algorithms can have larger biases than smaller ones.