DocumentCode
2160070
Title
Information, covariance and square-root filtering in the presence of unknown inputs
Author
Gillijns, Steven ; Haverbeke, Niels ; De Moor, Bart
Author_Institution
Dept. of Electr. Eng., Katholieke Univ. Leuven, Leuven, Belgium
fYear
2007
fDate
2-5 July 2007
Firstpage
2213
Lastpage
2217
Abstract
The optimal filtering problem for linear systems with unknown inputs is addressed. Based on recursive least-squares estimation, information formulas for joint input and state estimation are derived. By establishing duality relations to the Kalman filter equations, covariance and square-root forms of the formulas follow almost instantaneously.
Keywords
Kalman filters; duality (mathematics); information filtering; least squares approximations; linear systems; recursive estimation; state estimation; Kalman filter equation; covariance filtering; duality relations; information filtering; information formula; joint input-state estimation; linear systems; optimal filtering problem; recursive least-squares estimation; square-root filtering; unknown inputs; Covariance matrices; Equations; Estimation; Kalman filters; Mathematical model; Time measurement; Vectors; Recursive least-squares estimation; information filtering; square-root filtering; unknown input;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (ECC), 2007 European
Conference_Location
Kos
Print_ISBN
978-3-9524173-8-6
Type
conf
Filename
7068514
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