Equivalence of recursive three-step filter and infinity augmented Kalman filter for linear discrete-time stochastic systems with direct feedthrough

DOI10.1049/IET-CTA.2019.1387MaRDI QIDQ6609032zbMATH OpenFDO

Authors Bo Ding, Tianping Zhang

Publication date 20 September 2024

Published in IET Control Theory \& Applications (Search for Journal in Brave)

zbMATH Keywords

linear systemsstate estimationKalman filtersstochastic systemsfiltering theorydiscrete time systemsprocess noiseexogenous inputdirect feedthroughlinear discrete-time stochastic systemsAKFaugment Kalman filterinput approaches infinitythree-step filter method

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55)

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Cites work

• A Kalman-filtering derivation of simultaneous input and state estimation
• A framework for globally optimal state estimation for systems with unknown inputs. II: Untrammeled approach
• A unified filter for simultaneous input and state estimation of linear discrete-time stochastic systems
• On the asymptotic stability of minimum-variance unbiased input and state estimation
• On the equivalence between the unbiased minimum-variance estimation and the infinity augmented Kalman filter
• On the global optimality of unbiased minimum-variance state estimation for systems with unknown inputs
• Parametric circular eigenvalue assignment for descriptor systems via state feedback
• Robust two-stage Kalman filters for systems with unknown inputs
• Saturated fault tolerant control based on partially decoupled unknown-input observer: a new integrated design strategy
• Unbiased minimum variance estimation for systems with unknown exogenous inputs
• Unbiased minimum-variance input and state estimation for linear discrete-time systems
• Unbiased minimum-variance input and state estimation for linear discrete-time systems with direct feedthrough
• Unbiased minimum-variance linear state estimation
• Unbiased minimum-variance state estimation for linear systems with unknown input

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