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REDUCED ORDER FILTERING FOR STOCHASTIC DISCRETE-TIME SYSTEMS WITH UNKNOWN INPUTS
M. Darouach, M. Boutayeb and M. Zasadzinski
CRAN, IUT de Longwy, Université Henri Poincaré – Nancy I
186, rue de Lorraine, 54400 Cosnes et Romain, FRANCE
e-mail: {darouach,boutayeb,mzasad}@iut-longwy.uhp-nancy.fr
This paper presents a reduced order unbiased minimum variance estimator for stochastic discrete-time time-varying systems with unknown inputs. The necessary and sufficient conditions for the existence of the obtained filter are given. Stability and convergence conditions are developed for the time-invariant case.
Keywords: Discrete-time systems, Optimal filtering, Riccati equations, Convergence, Stability
Session slot T-We-M02: Performance Issues in Discrete Event Systems/Area code 3c : Discrete Event Dynamic Systems
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