Title :
Linear filtering of singularly perturbed systems
Author_Institution :
University of Illinois, Urbana, IL, USA
fDate :
8/1/1976 12:00:00 AM
Abstract :
This short paper considers the properties of singularly perturbed systems with white noise input. The theory of singular perturbations is then applied to the filtering problem for such systems. The resulting filter may be approximately decomposed into two filters in different time scales yielding the estimates of the slow-mode and the fast-mode states.
Keywords :
Linear systems, stochastic continuous-time; Perturbation methods; State estimation; Filtering; Maximum likelihood detection; Minimax techniques; Nonlinear filters; Optimal control; Pareto optimization; Regulators; State-space methods; Sufficient conditions; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1976.1101306