NDLI: Optimal linear filtering design for discrete-time systems with cross-correlated stochastic parameter matrices and noises

Content Provider	IET Digital Library
Author	Wang, Wei Zhou, Jie
Abstract	This study investigates the design of an optimal linear estimator for a class of discrete-time linear systems with correlated stochastic parameter matrices and noises. The considered systems are endowed with the following two main features: (i) cross-correlated stochastic matrices involved in the state and observation equations are assumed and (ii) the process and observation noises have cross-correlation at the same time instant. A decorrelation framework is established to reconstruct such systems. With the equivalent transformation of original dynamic systems resulting from decorrelating operations, the optimal linear recursive filter in the minimum mean square error sense is developed by employing the results of Kalman filtering. The discrete-time linear systems with multiple packet dropouts are modelled as a particular case, and then the proposed filter is applied directly to estimate the system state, while a comparative analysis between the new method and the existing approaches is provided. Simulations demonstrate the effectiveness of the presented algorithm.
Starting Page	3353
Ending Page	3362
Page Count	10
ISSN	17518644
Volume Number	11
e-ISSN	17518652
Issue Number	Issue 18, Dec (2017)
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/iet-cta/11/18
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/10.1049/iet-cta.2017.0425
Journal	IET Control Theory & Applications
Publisher Date	2017-09-27
Access Restriction	Open
Rights Holder	© The Institution of Engineering and Technology
Subject Keyword	Algebra Cross-correlated Stochastic Matrices Cross-correlated Stochastic Parameter Matrices Decorrelating Operations Decorrelation Framework Discrete Control System Discrete Time System Discrete-time Linear System Discrete-time System Equivalent Transformation Kalman Filter Kalman Filtering Linear System Matrix Algebra Minimum Mean Square Error Sense Modelling And Identification Multiple Packet Dropouts Observation Equation Optimal Linear Estimator Optimal Linear Filtering Design Optimal Linear Recursive Filter Original Dynamic System Simulation Statistics Stochastic Linearised SCUC
Content Type	Text
Resource Type	Article
Subject	Control and Optimization Control and Systems Engineering Human-Computer Interaction Electrical and Electronic Engineering Computer Science Applications

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