This paper concerns the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises. A sub-optimal quadratic filter algorithm is proposed. In order to enlarge the class of systems allowed to be processed, a novel approach based on the output injection stabilization is derived. Also a second benefit to the estimate performances, due to the possibility of assignment of the system eigenvalues, is investigated. Numerical results validate the effectiveness of the proposed method.

Quadratic Filtering for non-Gaussian and not Asymptotically Stable Linear Discrete-Time Systems

CACACE, F.;CONTE, F.
;
2014-01-01

Abstract

This paper concerns the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises. A sub-optimal quadratic filter algorithm is proposed. In order to enlarge the class of systems allowed to be processed, a novel approach based on the output injection stabilization is derived. Also a second benefit to the estimate performances, due to the possibility of assignment of the system eigenvalues, is investigated. Numerical results validate the effectiveness of the proposed method.
2014
978-1-4799-7745-1
Kalman filter; Output feedback
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12610/16102
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