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On existence, optimality and asymptotic stability of the Kalman filter with partially observed inputs

Su, Jinya and Li, Baibing and Chen, Wen-Hua (2015) 'On existence, optimality and asymptotic stability of the Kalman filter with partially observed inputs.' Automatica, 53. 149 - 154. ISSN 0005-1098

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Abstract

For linear stochastic time-varying systems, we investigate the properties of the Kalman filter with partially observed inputs. We first establish the existence condition of a general linear filter when the unknown inputs are partially observed. Then we examine the optimality of the Kalman filter with partially observed inputs. Finally, on the basis of the established existence condition and optimality result, we investigate asymptotic stability of the filter for the corresponding time-invariant systems. It is shown that the results on existence and asymptotic stability obtained in this paper provide a unified approach to accommodating a variety of filtering scenarios as its special cases, including the classical Kalman filter and state estimation with unknown inputs.

Item Type: Article
Uncontrolled Keywords: Asymptotic stability, Existence, Kalman filter, Optimality, Unknown inputs
Divisions: Faculty of Science and Health > Computer Science and Electronic Engineering, School of
Depositing User: Elements
Date Deposited: 30 Sep 2019 09:32
Last Modified: 30 Sep 2019 10:15
URI: http://repository.essex.ac.uk/id/eprint/25304

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