Journal ArticleDOI
Estimation of the state vector of a linear stochastic system with a constrained estimator
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TLDR
In this article, a constructive design procedure for the problem of estimating the state vector of a discrete-time linear stochastic system with time-invariant dynamics when certain constraints are imposed on the number of memory elements of the estimator is presented.Abstract:
The paper presents a constructive design procedure for the problem of estimating the state vector of a discrete-time linear stochastic system with time-invariant dynamics when certain constraints are imposed on the number of memory elements of the estimator. The estimator reconstructs the state vector exactly for deterministic systems while the steady-state performance in the stochastic case may be comparable to that obtained by the optimal (unconstrained) Wiener-Kalman filter.read more
Citations
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Journal ArticleDOI
An introduction to observers
TL;DR: In this paper, the identity observer, a reduced-order observer, linear functional observers, stability properties, and dual observers are discussed, along with the special topics of identity observer and reduced order observer.
Journal ArticleDOI
Control of large-scale dynamic systems by aggregation
TL;DR: Using the quantitative definition of weak coupling proposed by Milne, a suboptimal control policy for the weakly coupled system is derived and questions of performance degradation and of stability of such suboptimally controlled systems are answered.
Journal ArticleDOI
Observers for nonlinear stochastic systems
Tzyh-Jong Tarn,Y. Rasis +1 more
TL;DR: In this article, sufficient conditions on the structure of a nonlinear stochastic system for the existence of an exponentially bounded observer are given, and sufficient conditions to stabilize cascaded control and observer in a feedback arrangement are given.
Journal ArticleDOI
Optimal minimal-order observer-estimators for discrete linear time-varying systems
E. Tse,Michael Athans +1 more
TL;DR: In this paper, the authors generalize and unify the concepts developed by Kalman and Luenberger pertaining to the design of discrete linear systems which estimate the state of a linear plant on the basis of both noise-free and noisy measurements of the output variables.
Journal ArticleDOI
State space modeling of multiple time series
Masanao Aoki,Arthur Havenner +1 more
TL;DR: In this paper, a multivariate state space methos for both stationary and nonstationary problems is described and related to ARMA models, and the states or dynamic factors of the procedure are chosen to be robust in the presence of model misspecification.
References
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Journal ArticleDOI
Observing the State of a Linear System
TL;DR: In this article, it was shown that the state vector of a linear system can be reconstructed from observations of the system inputs and outputs, and that the observer which reconstructs this state vector is itself a linear systems whose complexity decreases as the number of output quantities available increases.
Journal ArticleDOI
On observability of stochastic discrete-time dynamic systems☆
TL;DR: In this article, it is shown that stochastic observability can be characterized in terms of certain rank conditions which are generalizations of the well-known rank condition that characterizes the observability of deterministic linear time-invariant systems.