Linear dynamic filtering with noisy input and output

Markovsky, I. and De Moor, B., Soderstrom, T. (ed.) (2005) Linear dynamic filtering with noisy input and output. Automatica, 41, (1), 167-171.


[img] PDF - Accepted Version
Download (173Kb)
[img] PDF (Answer to the reviewers) - Supplemental Material
Download (84Kb)


Estimation problems for linear time-invariant systems with noisy input and output are considered. The smoothing problem is a least norm problem. An efficient algorithm using a Riccati-type recursion is derived. 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.

Item Type: Article
Related URLs:
Keywords: errors-in-variables model, Kalman filtering, optimal smoothing.
Divisions: Faculty of Physical Sciences and Engineering > Electronics and Computer Science > Southampton Wireless Group
ePrint ID: 263299
Date Deposited: 06 Jan 2007
Last Modified: 27 Mar 2014 20:07
Further Information:Google Scholar
ISI Citation Count:10

Actions (login required)

View Item View Item

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics