DocumentCode
802166
Title
A new method of recursive estimation in discrete linear systems
Author
Kashyap, Rekha
Author_Institution
Purdue University, Lafayette, IN, USA
Volume
15
Issue
1
fYear
1970
fDate
2/1/1970 12:00:00 AM
Firstpage
18
Lastpage
24
Abstract
Let the measurement 
at instant 
be of form 
where 
is the noise and 
is the signal obeying a system of coupled linear difference equations. A method is given for computing the gains of the predictor and filter for the signal and the corresponding state 
. The gains are computed recursively from the previous gains without involving the covariance matrix of the state. The computational advantages of the scheme are also discussed.
at instant be of form where is the noise and is the signal obeying a system of coupled linear difference equations. A method is given for computing the gains of the predictor and filter for the signal and the corresponding state . The gains are computed recursively from the previous gains without involving the covariance matrix of the state. The computational advantages of the scheme are also discussed.Keywords
Linear systems, stochastic discrete-time; State estimation; Covariance matrix; Difference equations; Filters; Least squares approximation; Linear systems; Noise measurement; Recursive estimation; Smoothing methods; Technological innovation; Vectors;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1970.1099354
Filename
1099354
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