Title :
Limiting performance of optimal linear discrete filters
Author :
Jemaa, L. Ben ; Davison, E.J.
Author_Institution :
Dept. of Electr. & Comput. Eng., Toronto Univ., Ont., Canada
Abstract :
The limiting variance of the estimation error is obtained for the optimal H2 filter for discrete time systems when the intensity of the measurement noise tends to zero. In particular, an explicit expression is obtained for the lowest achievable mean-square error when the measurement noise is slowly varying and has intensity which tends to zero. This limitation can be characterized completely by the number and location of the system´s unstable transmission zeros
Keywords :
Kalman filters; discrete time filters; discrete time systems; linear systems; state estimation; state-space methods; Kalman filter; discrete time systems; linear discrete filters; linear time invariant systems; measurement noise; nonminimum phase systems; optimal filter; state space; unstable transmission zeros; Discrete time systems; Estimation error; Filtering theory; Hydrogen; Noise measurement; Nonlinear filters; Riccati equations; Time measurement; Transfer functions; White noise;
Conference_Titel :
American Control Conference, 2000. Proceedings of the 2000
Conference_Location :
Chicago, IL
Print_ISBN :
0-7803-5519-9
DOI :
10.1109/ACC.2000.877007
