Brief paper: Optimal timing of observations for state estimation in a one-dimensional linear continuous system

Authors:
Shogo Tanaka;Tsuyoshi Okita
Affiliations:
Department of Electronic Engineering, Yamaguchi University, Ube, Yamaguchi 755 Japan;Department of Electronic Engineering, Yamaguchi University, Ube, Yamaguchi 755 Japan
Venue:
Automatica (Journal of IFAC)
Year:
1985

Citing 2
Cited 1

Measurement optimization in optimal process control

Automatica (Journal of IFAC)
1972 IFAC congress paper: On the determination of optimal costly measurement strategies for linear stochastic systems

Automatica (Journal of IFAC)

A measurement policy in stochastic linear filtering problems

Computers & Mathematics with Applications

Quantified Score

Hi-index	22.14

Visualization

Abstract

This paper considers the optimal timing of observations for the state estimation in a one-dimensional linear continuous stochastic system which is corrupted by white Gaussian noise. The criterion adopted ia a min-max one. The optimal observation times are analytically shown to be located periodically including the terminal time, irrespective of the values of the variances of both the observation noise and the system noise. Finally, the relation between the min-max solution and MSE (mean-square error) solution is considered, and the method of obtaining a suboptimal MSE solution with a little computational cost is presented.