Limiting performance of optimal linear discrete filters

The limiting variance of the estimation error is obtained for the optimal H 2 filter for discrete time systems when the intensity of the measurement noise tends to zero. In particular, an explicit expression is obtained for the lowest achievable mean-square error when the measurement noise is slowly...

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Bibliographic Details
Published in:Automatica (Oxford) 2003-07, Vol.39 (7), p.1221-1226
Main Authors: Jemaa, Lamia Ben, Davison, Edward Joseph
Format: Article
Language:English
Subjects:
Applied sciences
Cheap control problem
Computer science
control theory
systems
Control theory. Systems
Exact sciences and technology
Kalman filter
Non-minimum phase
Optimal filter
Performance limitations
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Summary:The limiting variance of the estimation error is obtained for the optimal H 2 filter for discrete time systems when the intensity of the measurement noise tends to zero. In particular, an explicit expression is obtained for the lowest achievable mean-square error when the measurement noise is slowly varying and has intensity which tends to zero. This limitation can be characterized completely by the system order, the dimension of the process noise, the number of the system's transmission zeros, and the location of the system's unstable transmission zeros.
ISSN:0005-1098
1873-2836
DOI:10.1016/S0005-1098(03)00090-6