Title :
Optimal unbiased filtering via linear matrix inequalities
Author :
Watson, James T., Jr. ; Grigoriadis, Karolos M.
Author_Institution :
Dept. of Mech. Eng., Houston Univ., TX, USA
Abstract :
Solutions to the optimal H∞ and L2-L ∞ unbiased reduced-order filtering problems are obtained in terms of linear matrix inequalities (LMIs). The order of the optimal filter is equal to the number of measurements. Both continuous-time and discrete-time results are presented. An explicit parametrization of all optimal unbiased filters is provided in terms of a free contractive matrix
Keywords :
H∞ optimisation; continuous time systems; discrete time systems; filtering theory; matrix algebra; continuous-time systems; discrete-time systems; free contractive matrix; linear matrix inequality; optimal filter; parametrization; reduced-order filtering; unbiased filtering; Density measurement; Filtering; Kalman filters; Linear matrix inequalities; Matrix decomposition; Mechanical engineering; Noise measurement; Nonlinear filters; Singular value decomposition; State estimation;
Conference_Titel :
American Control Conference, 1997. Proceedings of the 1997
Conference_Location :
Albuquerque, NM
Print_ISBN :
0-7803-3832-4
DOI :
10.1109/ACC.1997.611971
