Title :
A unified solution to the singular and nonsingular linear minimum-variance estimation problem
Author_Institution :
Rocketdyne Div., Canoga Park, CA, USA
fDate :
6/1/1988 12:00:00 AM
Abstract :
A unified solution is derived for the transfer function matrix of the minimum-variance estimator of the state of a linear continuous-time system with noisy or noise-free measurements. For the noisy measurement case, the Kalman-Bucy filter standard equations are used to give the general format of the transfer function. The Kalman-Bucy gain, using the spectral factorization on the algebraic in the S plane, is derived and substituted in the transfer-function expression. The singular case is then shown to be a special case of the noisy measurement estimator
Keywords :
linear systems; matrix algebra; state estimation; transfer functions; Kalman-Bucy filter; Kalman-Bucy gain; continuous-time system; linear systems; minimum-variance estimator; spectral factorization; state estimation; transfer function matrix; Adaptive control; Bifurcation; Feedback; Nonlinear equations; Nonlinear systems; Packaging; Riccati equations; State estimation; Symmetric matrices; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on