Unbiased minimum-variance input and state estimation for linear discrete-time systems with direct feedthrough

Autor:	Bart De Moor, Steven Gillijns
Rok vydání:	2007
Předmět:	Minimum-variance unbiased estimator Discrete time and continuous time Control and Systems Engineering Filter (video) Control theory System identification Feedthrough Recursive filter Kalman filter Electrical and Electronic Engineering Infinite impulse response Mathematics
Zdroj:	Automatica. 43:934-937
ISSN:	0005-1098
DOI:	10.1016/j.automatica.2006.11.016
Popis:	This paper extends previous work on joint input and state estimation to systems with direct feedthrough of the unknown input to the output. Using linear minimum-variance unbiased estimation, a recursive filter is derived where the estimation of the state and the input are interconnected. The derivation is based on the assumption that no prior knowledge about the dynamical evolution of the unknown input is available. The resulting filter has the structure of the Kalman filter, except that the true value of the input is replaced by an optimal estimate.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::414fe5697185c0b62b41975912c1f1b9 https://doi.org/10.1016/j.automatica.2006.11.016 Zobrazit plný text záznamu Full Text from ScienceDirect