Brief paper: A constrained minimum variance input-output estimator for linear dynamic systems

Authors:
J. Gertler
Affiliations:
Institute for Computing and Automation, Hungarian Academy of Sciences, Budapest POB63, Hungary H 1502
Venue:
Automatica (Journal of IFAC)
Year:
1979

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Abstract

A stationary estimator is presented that provides estimates for both the outputs and the inputs of linear time-invariant systems. The estimates satisfy the input-output equations and are optimal in a weighted minimum variance sense. It is shown that the true optimum problem is too complicated to allow a general closed-form solution and a sub-optimal approach is suggested that leads to a simple computational algorithm.