DocumentCode :
31962
Title :
Fast Computation of Discrete Optimal FIR Estimates in White Gaussian Noise
Author :
Shunyi Zhao ; Shmaliy, Yuriy S. ; Fei Liu
Author_Institution :
Key Lab. of Adv. Process Control for Light Ind. (Minist. of Educ.), Jiangnan Univ., Wuxi, China
Volume :
22
Issue :
6
fYear :
2015
fDate :
Jun-15
Firstpage :
718
Lastpage :
722
Abstract :
We propose a fast iterative algorithm for optimal finite impulse response (OFIR) filtering of linear discrete time-invariant state-space models in white Gaussian noise. The OFIR filter is known to have the BIBO stability and better robustness against the Kalman filter (KF). The iterative OFIR algorithm is KF-like; that is, its estimate appears much faster than in the batch OFIR filter. A dramatic reduction of computation time is demonstrated in the full-horizon iterative OFIR algorithm which operates as fast as KF. We also notice a considerable reduction of the computational resources allowed by iterations.
Keywords :
FIR filters; Gaussian noise; iterative methods; white noise; BIBO stability; Kalman filter; OFIR filtering; batch OFIR filter; computation time reduction; computational resource reduction; discrete optimal FIR estimates; fast computation; fast iterative algorithm; full-horizon iterative OFIR algorithm; iterative OFIR algorithm; linear discrete time-invariant state-space model; optimal finite impulse response filtering; white Gaussian noise; Iterative algorithm; optimal FIR filtering; state space; white Gaussian noise;
fLanguage :
English
Journal_Title :
Signal Processing Letters, IEEE
Publisher :
ieee
ISSN :
1070-9908
Type :
jour
DOI :
10.1109/LSP.2014.2368777
Filename :
6949609
Link To Document :
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