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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

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.

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More information

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

Identifiers

Local EPrints ID: 263299
URI: http://eprints.soton.ac.uk/id/eprint/263299
ISSN: 0005-1098
PURE UUID: c05bb754-ed44-47fa-a9d4-bad0a54b4b3b

Catalogue record

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

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Contributors

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

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