Optimal observers for ARMA models
作者:
K. WARWICK,
期刊:
International Journal of Control
(Taylor Available online 1987)
卷期:
Volume 46,
issue 5
页码: 1493-1503
ISSN:0020-7179
年代: 1987
DOI:10.1080/00207178708933989
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A polynomial-based ARMA model, when posed in a state-space framework can be regarded in many different ways. In this paper two particular state-space forms of the ARMA model are considered, and although both are canonical in structure they differ in respect of the mode in which disturbances are fed into the state and output equations. For both forms a solution is found to the optimal discrete-time observer problem and algebraic connections between the two optimal observers are shown. The purpose of the paper is to highlight the fact that the optimal observer obtained from the first state-space form, commonly known as the innovations form, is not that employed in an optimal controller, in the minimum-output variance sense, whereas the optimal observer obtained from the second form is. Hence the second form is a much more appropriate state-space description to use for controller design, particularly when employed in self-tuning control schemes.
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