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Limiting performance of optimal linear discrete filters

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2 Author(s)
Jemaa, L.B. ; Dept. of Electr. & Comput. Eng., Toronto Univ., Ont., Canada ; Davison, E.J.

The limiting variance of the estimation error is obtained for the optimal H2 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 number and location of the system's unstable transmission zeros

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American Control Conference, 2000. Proceedings of the 2000  (Volume:6 )

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