Title :
On the computation of optimal stochastic observer gains
Author :
Uttam, Bahar J. ; O´Halloran, William F., Jr.
Author_Institution :
Analytic Sciences Corporation, Reading, Mass., USA
fDate :
2/1/1975 12:00:00 AM
Abstract :
The design of a reduced-order continuous-time optimal stochastic observer has been based on the solution of a full-order covariance equation which restricts the implementation benefits of the reduced-order estimator. In this correspondence, it is shown that the gains of the reduced-order observer can be obtained by solving a reduced-order covariance equation, thus gaining the benefits of the reduced-order estimator.
Keywords :
Linear systems, stochastic; Observers; Stochastic systems, linear; Bismuth; Covariance matrix; Equations; Estimation error; Gain measurement; Noise measurement; Noise reduction; Stochastic processes; Stochastic resonance; Time varying systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1975.1100866
