Simple derivation of discrete minimal-order optimal estimator

26 November 1981

journal article
Published by Institution of Engineering and Technology (IET) in Electronics Letters

Vol. 17 (24) , 908-910
https://doi.org/10.1049/el:19810633

Abstract

A simple new derivation of the minimal-order discrete-time optimal estimator is presented. The method exploits the fact that the Kalman filter algorithm can be directly reduced in order by the number of noise-free system measurements.

Keywords

FILTERING THEORY
DISCRETE MINIMAL-ORDER OPTIMAL ESTIMATOR
KALMAN FILTER ALGORITHM
NOISE-FREE SYSTEM MEASUREMENTS
DERIVATION
STOCHASTIC LINEAR SYSTEMS
CONTROL THEORY

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