Title :
Discrete-time state estimation of analog double integrators
Author :
Shats, Samuel ; Bobrovsky, Ben Zion ; Shaked, Uri
Author_Institution :
Dept. of Electron. Commun. Control & Comput. Syst., Tel-Aviv Univ., Israel
Abstract :
The problem of minimum variance discrete-time state estimation of a continuous-time double integrator via noisy continuous-time measurements is considered. The error covariance matrices of this estimation are calculated and analyzed. The relations between these covariance matrices and the error covariance matrix of the optimal continuous-time filter are obtained, and a way for determining the required sampling period is proposed. A commonly used approximated model is investigated; it is shown to be inappropriate unless a specific improvement is introduced in the model.<>
Keywords :
State estimation; discrete time systems; filtering and prediction theory; matrix algebra; state estimation; time measurement; white noise; analog double integrators; approximated model; continuous-time measurements; error covariance matrices; minimum variance discrete-time state estimation; optimal continuous-time filter; sampling period; white noise; Additive white noise; Communication system control; Control systems; Covariance matrix; Digital filters; Gain measurement; Noise measurement; Perturbation methods; Sampling methods; State estimation;
Journal_Title :
Aerospace and Electronic Systems, IEEE Transactions on
