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AUTOMATICA
2007

Unbiased minimum-variance input and state estimation for linear discrete-time systems with direct feedthrough

13 years 3 months ago
Unbiased minimum-variance input and state estimation for linear discrete-time systems with direct feedthrough
This paper extends previous work on joint input and state estimation to systems with direct feedthrough of the unknown input to the output. Using linear minimum-variance unbiased estimation, a recursive filter is derived where the estimation of the state and the input are interconnected. The derivation is based on the assumption that no prior knowledge about the dynamical evolution of the unknown input is available. The resulting filter has the structure of the Kalman filter, except that the true value of the input is replaced by an optimal estimate. ᭧ 2007 Elsevier Ltd. All rights reserved.
Steven Gillijns, Bart De Moor
Added 08 Dec 2010
Updated 08 Dec 2010
Type Journal
Year 2007
Where AUTOMATICA
Authors Steven Gillijns, Bart De Moor
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