Reduced-order observers for linear discrete-time systems

Luenberger´s observer is considered as an alternate to the Kalman filter for obtaining state estimates in linear discrete-time stochastic systems. An interesting new solution to the problem of constructing optimal and suboptimal reduced-order observers is presented. The solution contains as special cases both Kalman´s optimal filter and the optimal minimal-order observer of Leondes and Novak. Also, the Tse and Athans observer is obtained as a special case of the reduced-order observer solution.