The Design of an Optimal Observer for Linear Discrete-Time Dynamical Systems,
Abstract
The report investigates the idea of using Luenberger's minimal-order observer as an alternate to the Kalman filter for obtaining state estimates in linear discrete-time stochastic systems. More specifically, the report presents a solution to the problem of constructing as optimal minimal-order observer for linear discrete-time stochastic systems where optimality is in the mean-square sense. The approach taken in this report leads to a completely unified theory for the design of optimal minimal-order observers and is applicable to both time-varying and time-invariant linear discrete systems. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1971
- Accession Number
- AD0728327
Entities
People
- Leslie Michael Novak
Organizations
- University of California, Los Angeles