Brief paper: Optimal estimation of linear discrete-time systems with stochastic parameters

Authors:
W. L. De Koning
Affiliations:
Department of Applied Physics, Delft University of Technology, Delft, The Netherlands
Venue:
Automatica (Journal of IFAC)
Year:
1984

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Abstract

This paper considers optimal linear state estimation in the general case of linear discrete-time systems with stochastic parameters which are statistically independent with respect to time. The estimator is derived by transforming the system to one with deterministic parameters and state dependent additive system and observation noise. It is shown that mean square stability of the system is a sufficient and almost necessary condition for the existence, uniqueness and stability of the time invariant estimator.