Discrete-time observers with random noises in dynamic block
The minimum variance state estimation of linear stochastic discrete-time systems by an observer of reduced-order is investigated. There is an additional random noise with known intensity in the dynamic block of the observer. The local optimal reduced-order state estimator is found which takes into a...
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Veröffentlicht in: | IEEE transactions on automatic control 1995-01, Vol.40 (1), p.165-169 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | The minimum variance state estimation of linear stochastic discrete-time systems by an observer of reduced-order is investigated. There is an additional random noise with known intensity in the dynamic block of the observer. The local optimal reduced-order state estimator is found which takes into account the presence of such noise. The equations of an optimal stationary observer are derived for linear stochastic time-invariant system.< > |
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ISSN: | 0018-9286 1558-2523 |
DOI: | 10.1109/9.362877 |