On the properties of reduced-order Kalman filters

Several known results are unified by considering properties of reduced-order Kalman filters. For the case in which the number of noise sources equals the number of observations, it is shown that the reduced-order Kalman filter achieves zero steady state variance of the estimation error if and only if the plant has no transmission zeros in the right half plane, since these would be among the poles of the Kalman filter. The reduced order Kalman filter cannot achieve zero variance of the estimation error if the number of independent noise sources exceed the number of observations. It is also shown that the reduced order Kalman filter achieves the generalized Doyle-Stein condition for robustness when the noise sources are collocated with the control inputs. When there are more observations than noise sources, additional noise sources can be postulated to improve the observer frequency response without diminishing robustness.