Title :
Filtering and smoothing for discrete linear time-varying descriptor systems
Author :
Hou, M. ; Müller, P.C.
Author_Institution :
Safety Control Eng., Wuppertal Univ., Germany
Abstract :
The optimal filtering and smoothing for time-varying descriptor systems are solved. A condition similar to the infinity observability for the time-invariant case is required in the present derivation. It is shown that the filter and smoother for time-varying descriptor systems can be performed in two-stage forms. A high computational efficiency of the estimation algorithms is thus obtained
Keywords :
discrete time systems; filtering and prediction theory; time-varying systems; computational efficiency; discrete linear time-varying descriptor systems; estimation algorithms; infinity observability; optimal filtering; smoothing; two-stage forms; Computational efficiency; Covariance matrix; Filtering; Filtering algorithms; H infinity control; Matrix decomposition; Nonlinear filters; Observability; Safety; Smoothing methods; Time varying systems; Vectors;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371519
