Optimal observers for systems with colored noises
- 1 January 1990
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 35 (9) , 1075-1078
- https://doi.org/10.1109/9.58542
Abstract
The problem of optimal full-order observers for continuous-time linear systems with colored process and measurement noises is considered. In such cases, optimal estimation of the state involves augmenting the system, thus a higher-order observer is required. The structure of a full-order observer is assumed and necessary conditions for the optimal observer are derived. The conditions are given for the general case where the intensity of the white-noise component of the measurement noise may be singular. The solution consists of a modified Riccati equation and a Lyapunov equation coupled by two projection matrices in the singular case and one projection matrix in the nonsingular case.Keywords
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