Linear dynamic filtering with noisy input and output

State estimation problems for linear time-invariant systems with noisy inputs and outputs are considered. An efficient recursive algorithm for the smoothing problem is presented. The equivalence between the optimal filter and an appropriately modified Kalman filter is established. The optimal estimate of the input signal is derived from the optimal state estimate. The result shows that the noisy input/output filtering problem is not fundamentally different from the classical Kalman filtering problem. 2004 Elsevier Ltd. All rights reserved.

• Type: Journal
• Year: 2005
• Where: AUTOMATICA
• Authors: Ivan Markovsky, Bart De Moor
• Keywords: AUTOMATICA 2005, Efficient Recursive Algorithm, Optimal State Estimate, State Estimation Problems