Title :
On the optimal unbiased functional filtering
Author :
Darouach, Mohamed
Author_Institution :
CRAN
fDate :
7/1/2000 12:00:00 AM
Abstract :
Presents a simple solution to the optimal unbiased reduced-order (or functional) filtering problem for linear time-varying systems. Necessary and sufficient conditions for the existence of the obtained filter are given. Stability and convergence conditions are developed for the time-invariant systems. Both continuous- and discrete-time cases are considered
Keywords :
Riccati equations; continuous time systems; convergence; discrete time systems; filtering theory; linear systems; reduced order systems; stability; state estimation; time-varying systems; convergence conditions; linear time-varying systems; necessary and sufficient conditions; optimal unbiased functional filtering; reduced-order filtering; time-invariant systems; Fault diagnosis; Filtering theory; Noise measurement; Nonlinear filters; Optimal control; Riccati equations; Stability; State estimation; Sufficient conditions; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
