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Estimation of the state vector of a linear stochastic system with a constrained estimator

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2 Author(s)
Aoki, M. ; University of California, Los Angeles, CA, USA ; Huddle, J.

The paper presents a constructive design procedure for the problem of estimating the state vector of a discrete-time linear stochastic system with time-invariant dynamics when certain constraints are imposed on the number of memory elements of the estimator. The estimator reconstructs the state vector exactly for deterministic systems while the steady-state performance in the stochastic case may be comparable to that obtained by the optimal (unconstrained) Wiener-Kalman filter.

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Automatic Control, IEEE Transactions on  (Volume:12 ,  Issue: 4 )