Optimal filtering for systems with unknown inputs
- 1 March 1998
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 43 (3) , 445-449
- https://doi.org/10.1109/9.661621
Abstract
An optimal filtering formula is derived for linear time-varying discrete systems with unknown inputs. By making use of the well-known innovations filtering technique, the derivation is an extension of a new observer design method for time-invariant deterministic systems with unknown inputs. The systems under consideration have the most general form. The derived optimal filter has a similar form to the standard Kalman filter with some modified covariance and gain matrices.Keywords
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