A unified filter for simultaneous input and state estimation of linear discrete-time stochastic systems

DOI10.1016/j.automatica.2015.10.040zbMath1329.93148arXiv1309.6627OpenAlexW2125079402MaRDI QIDQ901220

Minghui Zhu, Emilio Frazzoli, Sze Zheng Yong

Publication date: 23 December 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.6627

zbMATH Keywords

state estimationoptimal filteringinput estimationrecursive filterfilter stability

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

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