Proximal observers for secure state estimation

Abstract: This paper discusses a general framework for designing robust state estimators for a class of discrete-time nonlinear systems. We consider systems that may be impacted by impulsive (sparse but otherwise arbitrary) measurement noise sequences. We show that a family of state estimators, robust to this type of undesired signal, can be obtained by minimizing a class of nonsmooth convex functions at each time step. The resulting state observers are defined through proximal operators. We obtain a nonlinear implicit dynamical system in term of estimation error and prove, in the noise-free setting, that it vanishes asymptotically when the minimized loss function and the to-be-observed system enjoy appropriate properties. From a computational perspective, even though the proposed observers can be implemented via efficient numerical procedures, they do not admit closed-form expressions. The paper argues that by adopting appropriate relaxations, simple and fast analytic expressions can be derived.