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
Hauptverfasser: Lyashenko, E.A., Ryashko, L.B.
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.< >
ISSN:0018-9286
1558-2523
DOI:10.1109/9.362877