Kalman filtering with unknown inputs via optimal state estimation of singular systems
Résumé
A new method for designing a Kalman filter for linear discrete-time systems with unkown inputs is presented. The algorithm recently developed for stochastic singular systems is applied to obtain a linear estimation of the state and unkown inputs. The necessary and sufficient conditions for the existence and stability of the filter are derived and proved. An illustrative example is included.
Origine : Fichiers produits par l'(les) auteur(s)
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