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