Explicit Solution to the Singular Discrete-Time Stationary Linear Filtering Problem

Uri Shaked*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

A closed form solution to the stationary discrete-time linear filtering problem is obtained explicitly in terms of the system state-space matrices in the limiting singular case where the measurement noise tends to zero. Simple expressions, in closed form, are obtained for the Kalman gain matrix both for uniform and nonuniform rank systems and the explicit eigenstructure of the Kalman filter closed loop matrix is derived. The minimum error covariance matrices of the a priori and a posteriori filtered estimates are obtained using this special eigenstructure, and a remarkably different behavior of the solution in the minimum and nonminimum-phase cases is found.

Original languageEnglish
Pages (from-to)34-47
Number of pages14
JournalIEEE Transactions on Automatic Control
Volume30
Issue number1
DOIs
StatePublished - Jan 1985

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