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

Autor:	Bart De Moor, Steven Gillijns
Rok vydání:	2007
Předmět:	Estimation Minimum-variance unbiased estimator Discrete time and continuous time Control and Systems Engineering Control theory Filter (video) Recursive filter State (functional analysis) Kalman filter Minimum variance estimation Electrical and Electronic Engineering Mathematics
Zdroj:	Automatica. 43:111-116
ISSN:	0005-1098
DOI:	10.1016/j.automatica.2006.08.002
Popis:	This paper addresses the problem of simultaneously estimating the state and the input of a linear discrete-time system. A recursive filter, optimal in the minimum-variance unbiased sense, is developed where the estimation of the state and the input are interconnected. The input estimate is obtained from the innovation by least-squares estimation and the state estimation problem is transformed into a standard Kalman filtering problem. Necessary and sufficient conditions for the existence of the filter are given and relations to earlier results are discussed.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::de1599f7eb75e069b230eea14cabcc52 https://doi.org/10.1016/j.automatica.2006.08.002 Zobrazit plný text záznamu Full Text from ScienceDirect