Explicit solution to the singular discrete-time stationary linear filtering problem
From MaRDI portal
Publication:3222091
DOI10.1109/TAC.1985.1103784zbMath0556.93068MaRDI QIDQ3222091
Publication date: 1985
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
closed-form expressions; high signal-to-noise ratio; singular case; coloured measurement noise; stationary discrete-time linear minimum variance filtering
62M20: Inference from stochastic processes and prediction
93E11: Filtering in stochastic control theory
60G10: Stationary stochastic processes
93C55: Discrete-time control/observation systems
93C05: Linear systems in control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
15A18: Eigenvalues, singular values, and eigenvectors
Related Items
Kalman estimation with Brownian disturbances, A closed-form solution to the discrete-time Kalman filter and its applications, Sensitivity properties of a class of discrete-time LQG controllers with computation delays, A design of discrete-time integral controllers with computation delays via loop transfer recovery, Robust digital control of a high-performance engine, Limiting performance of optimal linear discrete filters, Discrete-time loop transfer recovery for systems with nonminimum phase zeros and time delays, Extended discrete-time LTR synthesis of delayed control systems, Discrete-time LQG/LTR technique for systems with time delays, Decoupling properties of singular LQ regulation problem, Explicit solutions to the singular discrete finite-time linear estimation problem, Reduced order controller design for discrete time systems
