Wiener FIR Filters for Continuous-Time State-Space Models

In this paper a Wiener FIR filter is introduced for continuous-time state-space signal models, which not only possesses the finite impulse response (FIR) but also utilizes the finite observation. The FIR structure will guarantee the BIBO stability and the robustness, while the finite observation improve the divergence characteristic of the filter. It is shown that the impulse response of the Wiener FIR filter is obtained by the simplified Schumitzky-type equation which can be solved easily. Especially for time-invariant systems, this Wiener FIR filter will be reduced to simpler forms which are practically useful. For the implementation the recursive form of the filter is derived and its computational algorithms are suggested. The improvement in the divergence characteristic by the Wiener FIR filter has been demonstrated via a simulation.