An Optimal Receding Horizon FIR Filter for Continuous-Time Linear Systems

Author

Kim, Du Yong ; Shin, Vladimir

Author_Institution

Dept. of Mechatronics, Gwangju Inst. of Sci. & Technol.

fYear

2006

Firstpage

263

Lastpage

265

Abstract

A receding horizon filtering problem for linear dynamic systems is considered. In receding horizon strategy, past measurements outside horizon window are discarded. In this case horizon initial state has an arbitrary mean and infinite covariance. Under these conditions we present an optimal horizon finite-impulse response filter for continuous-time linear systems. The filter is described by differential equations with initial conditions determined by the Lyapunov equations

Keywords

FIR filters; Lyapunov methods; continuous time systems; differential equations; linear systems; time-varying systems; Lyapunov equation; continuous-time linear system; differential equation; linear dynamic system; optimal horizon finite-impulse response filter; optimal receding horizon FIR filter; time-varying system; Differential equations; Electronic mail; Filtering; Finite impulse response filter; Gaussian noise; Linear systems; Mechatronics; Nonlinear filters; State estimation; Time measurement; FIR filter; Kalman filter; mean square error; receding horizon strategy;

fLanguage

English

Publisher

ieee

Conference_Titel

SICE-ICASE, 2006. International Joint Conference

Conference_Location

Busan

Print_ISBN

89-950038-4-7

Electronic_ISBN

89-950038-5-5

Type

conf

DOI

10.1109/SICE.2006.315619

Filename

4108836