AN IMPROVED RECURSIVE ALGORITHM OF OPTIMAL FILTER FOR DISCRETE-TIME LINEAR SYSTEMS SUBJECT TO COLORED OBSERVATION NOISE

作者：Sawada Yuichi^*; Tanikawa Akio

来源：International Journal of Innovative Computing Information and Control, 2012, 8(3B): 2389-2397.

• Fault detection
• Optimal filter
• Stochastic systems
• Colored noise
• Robust filter
• Unknown inputs
• Discrete-time systems
• Chi-square test

This paper describes an optimal state estimator for a class of discrete-time linear stochastic systems that are subject to both colored observation noise and unknown inputs. Previously, we proposed an optimal filter for such systems based on Chen and Patton%26apos;s optimal disturbance decoupling observer (ODDO). More recently, we modified the ODDO by correcting the estimation error covariance matrix. Here, we combine these results and thus propose a new reliable optimal state estimator for systems having colored observation noise and unknown inputs.

• 出版日期2012-3