Quadratic filtering for non-Gaussian and not asymptotically stable linear discrete-time systems

This paper concerns the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises. A sub-optimal quadratic filter algorithm is proposed. In order to enlarge the class of systems allowed to be processed, a novel approach based on the output injection stabilization is derived. Also a second benefit to the estimate performances, due to the possibility of assignment of the system eigenvalues, is investigated. Numerical results validate the effectiveness of the proposed method.