The optimal projection equations for reduced-order state estimation: The singular measurement noise case
- 1 December 1987
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 32 (12), 1135-1139
- https://doi.org/10.1109/tac.1987.1104516
Abstract
The optimal projection equations for reduced-order state estimation are generalized to allow for singular (i.e., colored) measurement noise. The noisy and noise-free measurements serve as inputs to dynamic and static estimators, respectively. The optimal solution is characterized by necessary conditions which involve a pair of oblique projections corresponding to reduced estimator order and singular measurement noise intensity.Keywords
This publication has 21 references indexed in Scilit:
- The optimal projection equations for reduced-order, discrete-time state estimation for linear systems with multiplicative white noiseSystems & Control Letters, 1987
- Explicit solutions to the singular discrete finite-time linear estimation problemInternational Journal of Control, 1986
- Extended limiting forms of optimum observers and LQG regulatorsInternational Journal of Control, 1986
- The optimal projection/maximum entropy approach to designing low-order, robust controllers for flexible structuresPublished by Institute of Electrical and Electronics Engineers (IEEE) ,1985
- A geometric approach to the singular filtering problemIEEE Transactions on Automatic Control, 1985
- On reducing the order of Kalman filters for discrete-time stochastic systems having singular measurement noiseIEEE Transactions on Automatic Control, 1985
- Weiner and Kalman filters for systems with random parametersIEEE Transactions on Automatic Control, 1984
- Reduced-order optimal state estimator for linear systems with partially noise corrupted measurementIEEE Transactions on Automatic Control, 1980
- Optimal linear filtering for linear systems with state-dependent noiseInternational Journal of Control, 1969
- Linear filtering for time-varying systems using measurements containing colored noiseIEEE Transactions on Automatic Control, 1965