On the update of algebraic states during state estimation of differential–algebraic equation (DAE) systems

This manuscript presents a discussion on the algebraic state update step performed during recursive filtering of the differential–algebraic equation (DAE) systems. Existing DAE state estimation approaches follow a two-step state update procedure at each sampling instant. In particular, they first estimate the differential states using the Kalman update, and then update algebraic states by explicitly solving the algebraic equations. Specifically, for the case of DAE systems involving linear algebraic equations though the differential equations are nonlinear, we show that when appropriately initialized, this two-step state update procedure is not needed. It can instead be replaced with a one-step state update procedure that computes the differential and algebraic state estimates simultaneously through the Kalman update. The satisfaction of algebraic equations is guaranteed by this one-step update without it being explicitly enforced. Towards this end, we show that the error covariance matrix of augmented states, when properly initialized, satisfies a null-space property after prediction and update step at each sampling instant. This property ensures that the state estimates obtained using the proposed one-step update approach, satisfy the algebraic equations. This holds for both analytical linearization based extended Kalman filtering and statistical linearization based sigma-point filtering approaches. We also propose a heuristic-based update procedure for state estimation of DAE systems that involve nonlinear algebraic equations. This procedure draws out inferences from the case of DAE systems involving linear algebraic equations and is based on the analysis of algebraic equations residuals obtained from the updated differential and algebraic state estimates with a one-step state update. The efficacy of the proposed state update procedures is demonstrated by performing simulation studies on a benchmark drum boiler system case study. Results demonstrate that the proposed update procedures satisfactorily estimate the differential and algebraic states of a DAE system when compared to the traditional two-step update procedure.