Title: Linear dynamic filtering with noisy input and output
Authors: Markovsky, Ivan ×
De Moor, Bart #
Issue Date: Jan-2005
Publisher: Pergamon-elsevier science ltd
Series Title: Automatica vol:41 issue:1 pages:167-171
Abstract: State estimation problems for linear time-invariant systems with noisy inputs and outputs are considered. An efficient recursive algorithm for the smoothing problem is presented. The equivalence between the optimal filter and an appropriately modified Kalman filter is established. The optimal estimate of the input signal is derived from the optimal state estimate. The result shows that the noisy input/output filtering problem is not fundamentally different from the classical Kalman filtering problem. (C) 2004 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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