Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7109632 | Automatica | 2016 | 9 Pages |
Abstract
In this paper, we present a unified optimal and exponentially stable filter for linear discrete-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense, without making any assumptions on the direct feedthrough matrix. We also provide the connection between the stability of the estimator and a system property known as strong detectability, and discuss the global optimality of the proposed filter. Finally, an illustrative example is given to demonstrate the performance of the unified unbiased minimum-variance filter.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Sze Zheng Yong, Minghui Zhu, Emilio Frazzoli,