Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第42回ISCIE「確率システム理論と応用」国際シンポジウム(2010年11月, 岡山)
Optimal State Estimators for a Class of Discrete-time Linear Systems with Colored Observation Noise Using Improved Recursive Formula
Yuichi SawadaAkio Tanikawa
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2011 年 2011 巻 p. 71-75

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This paper describes an optimal state estimator for a class of discrete-time linear stochastic systems subject to both colored observation noise and unknown inputs. The authors have already proposed an optimal filter in our previous paper for such systems based on the idea of Chen and Patton's ODDO (Optimal Disturbance Decoupling Observer). On the other hand, we have proposed a modification of the ODDO by showing a correction to the estimation error covariance matrix. In this paper, we combine those results and propose a new optimal state estimator for the system with colored observation noise and the unknown inputs.
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© 2011 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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