Title :
Optimal State Estimators for Linear Systems with Unknown Inputs
Author :
Sundaram, Shreyas ; Hadjicostis, Christoforos N.
Author_Institution :
Dept. of Electr. & Comput. Eng., Univ. of Illinois at Urbana-Champaign, Urbana, IL
Abstract :
We present a method for constructing linear minimum-variance unbiased state estimators for discrete-time linear stochastic systems with unknown inputs. Our design provides a characterization of estimators with delay, which eases the established necessary conditions for existence of unbiased estimators with zero-delay. A consequence of using delayed estimators is that the noise affecting the system becomes correlated with the estimation error. We handle this correlation by increasing the dimension of the estimator appropriately
Keywords :
delays; discrete time systems; linear systems; state estimation; stochastic systems; delayed estimator; discrete-time linear stochastic system; error estimation; linear minimum-variance unbiased state estimator; linear system; optimal state estimator; zero-delay; Colored noise; Control systems; Covariance matrix; Delay estimation; Estimation error; Linear systems; Optimal control; Recursive estimation; State estimation; Stochastic systems;
Conference_Titel :
Decision and Control, 2006 45th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
1-4244-0171-2
DOI :
10.1109/CDC.2006.377599
