Minimum Weighted Frobenius Norm Discrete-Time FIR Filter With Embedded Unbiasedness

作者：You, Sung Hyun; Ahn, Choon Ki^*; Shmaliy, Yuriy S.; Zhao, Shunyi^*

来源：IEEE TRANSACTIONS ON CIRCUITS AND SYSTEMS II-EXPRESS BRIEFS, 2018, 65(9): 1284-1288.

DOI：10.1109/TCSII.2018.2810812

• Finite impulse response filtering
• state estimation
• Lagrange multiplier
• robustness

In this brief, we propose a new receding horizon finite impulse response (FIR) filter that minimizes the weighted Frobenius norm with embedded unbiasedness in discrete-time state-space. The filter, called the discrete-time weighted Frobenius norm unbiased FIR (DTWFNUF) filter, belongs to a class of maximum likelihood estimators. The Frobenius norm is introduced and minimized as a performance criterion to the filter gain matrix. It is shown that the DTWFNUF filter design problem can be cast into the optimization problem with the equality constraint and the filter gain matrix obtained by the Lagrange multiplier method. Higher robustness of the proposed filter is demonstrated in a comparison with the Kalman filter and minimum variance unbiased FIR filter based on a numerical example of the F-404 gas turbine engine.

• 出版日期2018-9
• 单位江南大学