Duality of Stochastic Observability and Constructability and Links to Fisher Information

Abstract: Given a set of measurements, observability characterizes the distinguishability of a system's initial state, whereas constructability focuses on the final state in a trajectory. In the presence of process and/or measurement noise, the Fisher information matrices with respect to the initial and final states$\unicode{x2013}$equivalent to the stochastic observability and constructability Gramians$\unicode{x2013}$bound the performance of corresponding estimators through the Cram\'er-Rao inequality. This letter establishes a connection between stochastic observability and constructability of discrete-time linear systems and provides a more numerically robust way for calculating the stochastic observability Gramian. We define a dual system and show that the dual system's stochastic constructability is equivalent to the original system's stochastic observability, and vice versa. This duality enables the interchange of theorems and tools for observability and constructability. For example, we use this result to translate an existing recursive formula for the stochastic constructability Gramian into a formula for recursively calculating the stochastic observability Gramian for both time-varying and time-invariant systems, where this sequence converges for the latter. Finally, we illustrate the robustness of our formula compared to existing (non-recursive) formulas through a numerical example.