A unified filter for simultaneous input and state estimation of linear discrete-time stochastic systems
From MaRDI portal
(Redirected from Publication:901220)
Abstract: In this paper, we present a unified optimal and exponentially stable filter for linear discrete-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense, without making any assumptions on the direct feedthrough matrix. We also derive input and state observability/detectability conditions, and analyze their connection to the convergence and stability of the estimator. We discuss two variations of the filter and their optimality and stability properties, and show that filters in the literature, including the Kalman filter, are special cases of the filter derived in this paper. Finally, illustrative examples are given to demonstrate the performance of the unified unbiased minimum-variance filter.
Recommendations
- 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 state estimation for linear systems with unknown input
- Simultaneous input and state estimation for stochastic nonlinear systems with additive unknown inputs
- Optimal filtering for systems with unknown inputs
Cites work
- scientific article; zbMATH DE number 3563783 (Why is no real title available?)
- scientific article; zbMATH DE number 1156422 (Why is no real title available?)
- A Spectral Test for Observability and Reachability of Time-Varying Systems
- Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
- Distributed Function Calculation via Linear Iterative Strategies in the Presence of Malicious Agents
- Extension of minimum variance estimation for systems with unknown inputs.
- Extension of unbiased minimum-variance input and state estimation for systems with unknown inputs
- Finite-Horizon $H_{\infty} $ Filtering With Missing Measurements and Quantization Effects
- Generalized Lyapunov Equation Approach to State-Dependent Stochastic Stabilization/Detectability Criterion
- Infinite horizon stochastic \(H_2/H_\infty \)control for discrete-time systems with state and disturbance dependent noise
- Matrix mathematics. Theory, facts, and formulas
- Nonparametric input estimation in physiological systems: Problems, methods, and case studies
- On stable simultaneous input and state estimation for discrete-time linear systems
- On the global optimality of unbiased minimum-variance state estimation for systems with unknown inputs
- On the optimality of recursive unbiased state estimation with unknown inputs
- Optimal filtering for systems with unknown inputs
- Robust finite frequency \(H_\infty \) filtering for uncertain 2-D systems: the FM model case
- Robust two-stage Kalman filters for systems with unknown inputs
- Strong detectability and observers
- 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
- \(H_\infty\) filtering for uncertain stochastic time-delay systems with sector-bounded nonlinearities
Cited in
(43)- Recursive state estimation for two-dimensional shift-varying systems with random parameter perturbation and dynamical bias
- Simultaneous state and unknown input set‐valued observers for quadratically constrained nonlinear dynamical systems
- The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares
- State estimation for stochastic discrete-time systems with multiplicative noises and unknown inputs over fading channels
- Improved input and state estimation for linear stochastic systems with direct feedthrough
- Adaptive modified input and state estimation for linear discrete-time system with unknown inputs
- Overall fault diagnosability evaluation for dynamic systems: a quantitative-qualitative approach
- Optimal position and velocity estimation for multi-USV positioning systems with range measurements
- State estimation with partially observed inputs: a unified Kalman filtering approach
- Simultaneous mode, input and state estimation for switched linear stochastic systems
- An internal model approach to estimation of systems with arbitrary unknown inputs
- Deadbeat unknown-input state estimation and input reconstruction for linear discrete-time systems
- Unbiased minimum-variance input and state estimation for linear discrete-time systems
- Unbiased minimum-variance input and state estimation for systems with unknown inputs: a system reformation approach
- Distributed simultaneous estimation of states and unknown inputs
- Unbiased minimum-variance input and state estimation for linear discrete-time systems with direct feedthrough
- Unbiased steady minimum-variance estimation for systems with measurement-delay and unknown inputs
- Equivalence of recursive three-step filter and infinity augmented Kalman filter for linear discrete-time stochastic systems with direct feedthrough
- Optimal state filter from sequential unknown input reconstruction: application to distributed state filtering
- On the asymptotic stability of minimum-variance unbiased input and state estimation
- Distributed consensus-based estimation with unknown inputs and random link failures
- A Kalman-filtering derivation of simultaneous input and state estimation
- SSUE: Simultaneous state and uncertainty estimation for dynamical systems
- Infinity augmented state Kalman filter and its application in unknown input and state estimation
- On privacy preserving data release of linear dynamic networks
- Event-based input and state estimation for linear discrete time-varying systems
- Time-distributed multi-step delayed input and state estimation
- On existence, optimality and asymptotic stability of the Kalman filter with partially observed inputs
- Event-based state and unknown input estimation for uncertain systems with stochastic nonlinearities
- Simultaneous input and state estimation: from a unified least-squares perspective
- Unknown input filtering under full accessibility attacks
- Filtering for systems subject to unknown inputs without a priori initial information
- On stable simultaneous input and state estimation for discrete-time linear systems
- Simultaneous input and state estimation for stochastic nonlinear systems with additive unknown inputs
- Real-time numerical differentiation of sampled data using adaptive input and state estimation
- Simultaneous input and state estimation with multi-step delay for linear stochastic systems based on infinity filtering and smoothing
- A limit Kalman filter and smoother for systems with unknown inputs
- scientific article; zbMATH DE number 2233620 (Why is no real title available?)
- Simultaneous input \& state estimation, singular filtering and stability
- Parameter continuity in time-varying Gauss-Markov models for learning from small training data sets
- A Kalman-filtering derivation of input and state estimation for linear discrete-time systems with direct feedthrough
- Distributed simultaneous state-input estimation over sensor networks under quantized communication
- Intermediate‐variable‐based Kalman filter for linear time‐varying systems with unknown inputs
This page was built for publication: A unified filter for simultaneous input and state estimation of linear discrete-time stochastic systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q901220)
