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COVARIANCE CALCULATION FOR FLOATING POINT STATE SPACE REALIZATIONS
Sangho Ko* Robert R. Bitmead*
* Department of Mechanical and Aerospace Engineering,
University of California, San Diego, 9500 Gilman Drive,
La Jolla, California, 92093-0411,USA
This paper provides a new method for analyzing floating point roundoff error for digital filters by using FSN (Finite Signal Noise) models whose noise sources have variances proportional to the the variance of the corrupted signals. With this model, the output error covariance of floating point arithmetic is derived and it is shown that optimal state space realization can be different from the optimal structure of the fixed point case.
Keywords: Covariance, digital filter structures, roundoff noises, multiplicative noise, white noise
Session slot T-Mo-A01: Filtering and State Estimation/Area code 3a : Modelling, Identification and Signal Processing
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