Two-stage Kalman estimator with unknown exogenous inputs (Q1295101)

The paper presents a two-stage estimator for bias and state filtering in discrete-time stochastic linear systems affected by unknown inputs of disturbances. It is shown that the state estimator can be expressed as a sum of a bias-free state estimator and the optimal estimator of constant bias. The proposed two-stage estimator is based on an alternate derivation of the unbiased minimum variance estimator with unknown exogenous inputs developed by \textit{M. Darouach} and \textit{M. Zasadzinski} [Automatica 33, 717-719 (1997; Zbl 0874.93086)].