On the optimal design of the output transformation for discrete-time linear systems (Q912046)

The optimization of the output matrix for a discrete-time, single-output, linear stochastic system is approached from two different points of view. Firstly, we investigate the problem of minimizing the steady-state filter error variance with respect to a time-invariant output matrix subject to a norm constraint. Secondly, we propose a filter algorithm in which the value of the difference at time k is chosen so as to maximize the difference at time \(k+1\) between the variance of the prediction error and that of the a-posteriori error. For this filter boundedness of the covariance and asymptotic stability are investigated. Several numerical experiments are reported: they give information about the limiting behaviour of the sequence of output matrices generated by the algorithm and the corresponding error covariance. They also enable to make a comparison with the results obtained by solving the former problem.