Title: Unbiased minimum-variance input and state estimation for linear discrete-time systems
Authors: Gillijns, Steven ×
De Moor, Bart #
Issue Date: Jan-2007
Publisher: Pergamon-elsevier science ltd
Series Title: Automatica vol:43 issue:1 pages:111-116
Abstract: This paper addresses the problem of simultaneously estimating the state and the input of a linear discrete-time system. A recursive filter, optimal in the minimum-variance unbiased sense, is developed where the estimation of the state and the input are interconnected. The input estimate is obtained from the innovation by least-squares estimation and the state estimation problem is transformed into a standard Kalman filtering problem. Necessary and sufficient conditions for the existence of the filter are given and relations to earlier results are discussed. (c) 2006 Elsevier Ltd. All rights reserved.
ISSN: 0005-1098
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Electrical Engineering - miscellaneous
ESAT - STADIUS, Stadius Centre for Dynamical Systems, Signal Processing and Data Analytics
× corresponding author
# (joint) last author

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