Brief Limiting performance of optimal linear discrete filters

Authors:
Lamia Ben Jemaa;Edward Joseph Davison
Affiliations:
Department of Electrical and Computer Engineering, Systems Control Group, University of Toronto, Toronto, Ont., Canada M5S 1A4;Department of Electrical and Computer Engineering, Systems Control Group, University of Toronto, Toronto, Ont., Canada M5S 1A4
Venue:
Automatica (Journal of IFAC)
Year:
2003

Citing 3
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Performance limitations of non-minimum phase systems in the servomechanism problem

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Properties and calculation of transmission zeros of linear multivariable systems

Automatica (Journal of IFAC)
Limiting performance of optimal linear filters

Automatica (Journal of IFAC)

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Abstract

The limiting variance of the estimation error is obtained for the optimal H"2 filter for discrete time systems when the intensity of the measurement noise tends to zero. In particular, an explicit expression is obtained for the lowest achievable mean-square error when the measurement noise is slowly varying and has intensity which tends to zero. This limitation can be characterized completely by the system order, the dimension of the process noise, the number of the system's transmission zeros, and the location of the system's unstable transmission zeros.