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.
Original language | English (US) |
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Pages (from-to) | 321-329 |
Number of pages | 9 |
Journal | Automatica |
Volume | 63 |
DOIs | |
State | Published - Jan 1 2016 |
Externally published | Yes |
Keywords
- Filter stability
- Input estimation
- Optimal filtering
- Recursive filter
- State estimation
ASJC Scopus subject areas
- Control and Systems Engineering
- Electrical and Electronic Engineering