NDLI: Minimal order Wiener filter for a linear system with exact measurements

Content Provider	IEEE Xplore Digital Library
Author	Haas, V.B.
Copyright Year	1984
Description	Author affiliation: Purdue University, West Lafayette, Indiana (Haas, V.B.)
Abstract	Formulas are derived for the minimal order Wiener filter for both a continuous and discrete detectable system when some measurements are noiseless and when such a filter exists. Necessary and sufficient conditions for the existence of an optimal steady-state state estimator are derived under the assumption that this estimator is a linear functional of the measurements and a finite number of derivatives of the exact measurements for the continuous system. For the discrete time system, the estimator is a linear functional of the measurements and a finite number of time delays of the exact measurements. Our conditions are shown to be dual to the generalized Legendre-Clebsch conditions of the dual optimal singular regulator. It is shown that as all process and measurement noise vanishes the error covariance of our filter converges to a null matrix. A separation principle is derived.
Starting Page	1257
Ending Page	1261
File Size	540724
Page Count	5
File Format	PDF
DOI	10.1109/CDC.1984.272221
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1984-12-12
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Wiener filter Linear systems Noise measurement State estimation Time measurement Sufficient conditions Steady-state Continuous time systems Discrete time systems Delay estimation
Content Type	Text
Resource Type	Article

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