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), pp. 167-171.

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Description/Abstract

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
ISSNs: 0005-1098 (print)
Related URLs:
Keywords: errors-in-variables model, Kalman filtering, optimal smoothing.
Organisations: Southampton Wireless Group
ePrint ID: 263299
Date :
Date Event
2005Published
Date Deposited: 06 Jan 2007
Last Modified: 17 Apr 2017 19:57
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/263299

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