Robust Power System Dynamic State Estimator with Non-Gaussian Measurement Noise: Part I--Theory (1703.04790v1)

Abstract: This paper develops the theoretical framework and the equations of a new robust Generalized Maximum-likelihood-type Unscented Kalman Filter (GM-UKF) that is able to suppress observation and innovation outliers while filtering out non-Gaussian measurement noise. Because the errors of the real and reactive power measurements calculated using Phasor Measurement Units (PMUs) follow long-tailed probability distributions, the conventional UKF provides strongly biased state estimates since it relies on the weighted least squares estimator. By contrast, the state estimates and residuals of our GM-UKF are proved to be roughly Gaussian, allowing the sigma points to reliably approximate the mean and the covariance matrices of the predicted and corrected state vectors. To develop our GM-UKF, we first derive a batch-mode regression form by processing the predictions and observations simultaneously, where the statistical linearization approach is used. We show that the set of equations so derived are equivalent to those of the unscented transformation. Then, a robust GM-estimator that minimizes a convex Huber cost function while using weights calculated via Projection Statistics (PS's) is proposed. The PS's are applied to a two-dimensional matrix that consists of serially correlated predicted state and innovation vectors to detect observation and innovation outliers. These outliers are suppressed by the GM-estimator using the iteratively reweighted least squares algorithm. Finally, the asymptotic error covariance matrix of the GM-UKF state estimates is derived from the total influence function. In the companion paper, extensive simulation results will be shown to verify the effectiveness and robustness of the proposed method.