Optimal timing of observations for state estimation in a one-dimensional linear continuous system

DOI10.1016/0005-1098(85)90067-6MaRDI QIDQ2265983zbMATH OpenOpenAlexFDO

Authors Shogo Tanaka, Tsuyoshi Okita

Publication date 1985

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(85)90067-6

zbMATH Keywords

mean-square error) solutionmin-max solutionobservation noiseone-dimensional linear continuous stochastic systemoptimal timing of observationsstate estimationsystem noise

Mathematics Subject Classification ID

Observability (93B07) Linear systems in control theory (93C05) Model systems in control theory (93C99) Estimation and detection in stochastic control theory (93E10)

Review text

This paper considers the optimal timing of observations for the state estimation in a one-dimensional linear continuous stochastic system which is corrupted by white Gaussian noise. The criterion adopted is a min-max one. The optimal observation times are analytically shown to be located periodically including the terminal time, irrespective of the values of the variances of both the observation noise and the system noise. Finally, the relation between the min-max solution and MSE (mean-square error) solution is considered, and the method of obtaining a suboptimal MSE solution with a little computational cost is presented.

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Cites work

• On suboptimal selection of observation times in a linear discrete dynamical system
• On the determination of optimal costly measurement strategies for linear stochastic systems
• Optimal measurement policies for control purposes
• Optimal timing of the observation for the state estimation and control of the stochastic discrete linear system

Cited in

(5)

• Optimal estimates of the coordinates of systems with a time lag with respect to a set of continuous and discrete observations
• Observation strategy for a parallel connection of discrete-time linear systems
• Estimate accuracy versus measurement cost saving in continuous time linear filtering problems
• Optimal times to observe in the kalman-bucy models
• A measurement policy in stochastic linear filtering problems

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