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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.

Record type: Article


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.

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Published date: 2005
Keywords: errors-in-variables model, Kalman filtering, optimal smoothing.
Organisations: Southampton Wireless Group


Local EPrints ID: 263299
ISSN: 0005-1098
PURE UUID: c05bb754-ed44-47fa-a9d4-bad0a54b4b3b

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Date deposited: 06 Jan 2007
Last modified: 18 Jul 2017 07:47

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Author: I. Markovsky
Author: B. De Moor
Editor: T. Soderstrom

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