Optimal recursive estimation for discrete-time descriptor systems

Authors:
João Y. Ishihara;Marco H. Terra;José C. T. Campos
Affiliations:
Electrical Engineering Department, University of Brasilia, Brasilia, DF, Brazil;Electrical Engineering Department, University of São Paulo, São Carlos, Brazil;Electrical Engineering Department, University of São Paulo, São Carlos, Brazil
Venue:
International Journal of Systems Science
Year:
2005

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Abstract

In this paper, we revisit the optimal recursive estimation problem for general time-variant descriptor systems. Instead of the standard stochastic formulation the estimates are derived using deterministic arguments in a completely self-contained way. We show that the filter recursions can be obtained as a solution of appropriate deterministic data-fitting problems. Two data-fitting problems are considered in this paper: the first involves the entire trajectory and the second is performed taking into account a one-step correction. A numerical example is presented to illustrate the performance of the filtered and predicted estimators.