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A continuous-time reduced-order filter for estimating the state vector of a linear stochastic system†

1970; Taylor & Francis; Volume: 11; Issue: 2 Linguagem: Inglês

10.1080/00207177008905902

1366-5820

M. M. NEWMANN,

Control Systems and Identification

Abstract A design procedure for a, reduced-order filter is suggested and the differential equation obeyed by the estimate error covariance matrix is obtained. The problem of optimizing the filter within the design framework is partially solved. Notes †Communicated by Dr. A. T. Fuller.