Estimation of the state vector of a linear stochastic system with a constrained estimator
- 1 August 1967
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 12 (4) , 432-433
- https://doi.org/10.1109/tac.1967.1098647
Abstract
The paper presents a constructive design procedure for the problem of estimating the state vector of a discrete-time linear stochastic system with time-invariant dynamics when certain constraints are imposed on the number of memory elements of the estimator. The estimator reconstructs the state vector exactly for deterministic systems while the steady-state performance in the stochastic case may be comparable to that obtained by the optimal (unconstrained) Wiener-Kalman filter.Keywords
This publication has 3 references indexed in Scilit:
- Observing the State of a Linear SystemIEEE Transactions on Military Electronics, 1964
- Controllability and Observability in Multivariable Control SystemsJournal of the Society for Industrial and Applied Mathematics Series A Control, 1963
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960