Design of linear functional niters for linear stochastic systems†
作者:
EIJI KONDO,
TERUO SUNAGA,
RYUJI SAKAMOTO,
期刊:
International Journal of Control
(Taylor Available online 1979)
卷期:
Volume 29,
issue 1
页码: 133-143
ISSN:0020-7179
年代: 1979
DOI:10.1080/00207177908922685
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper considers the problem of designing a linear functional filter (LFF) to estimate a linear function of the state of a linear stochastic system. The LFF is a linear unbiased filter and is generally of lower order than the Kalman-Bucy filter. When the LFF is unbiased in the so-called linear-quadratic-Gaussian (LQG) problem, it is shown that the separation properties are established for the quadratic cost function and the stability. In the steady-state case, the minimal order, a canonical form and the optimal design are obtained for a single LFF which estimates a scalar-valued linear function of the state. Finally, an illustrative example is given to show the effectiveness of the LFF.
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