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Time-domain filtering for estimation of linear systems with colored noises using recent finite measurements
- Authors
- Choi, Hyun Duck; Ahn, Choon Ki; Lim, Myo Taeg
- Issue Date
- 10월-2013
- Publisher
- ELSEVIER SCI LTD
- Keywords
- Colored noises; Finite impulse response (FIR) structure; State augmetation; State estimation; Inverse partitioned matrix
- Citation
- MEASUREMENT, v.46, no.8, pp.2792 - 2797
- Indexed
- SCIE
SCOPUS
- Journal Title
- MEASUREMENT
- Volume
- 46
- Number
- 8
- Start Page
- 2792
- End Page
- 2797
- ISSN
- 0263-2241
- Abstract
- To date, finite impulse response (FIR) filters have been proposed to estimate linear systems with white Gaussian noises, but to the best of our knowledge, no solution exists for linear systems with colored noises. In this paper, we propose a new FIR filter to estimate linear state-space models with both process and measurement noises through state augmentation. In addition, we suggest a modified form of the colored-noise FIR filter to deal with the computational burden and singularity problem. Numerical examples are presented to describe the effectiveness of the colored-noise FIR filter. (C) 2013 Elsevier Ltd. All rights reserved.
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