A modified stochastic Luenberger observer (MSLO) structure is proposed to recover the optimal performance of the coventional SLO for obtaining full-state estimates in linear discrete-time stochastic systems. The optimal MSLO (OMSLO) which gives the MMSE estimates is derived by using the general two-stage Kalman filter. A reduced-order form of the OMSLO is also proposed for systems having singular measurement noises. The connection between the OMSLO and the optimal minimal-order observer of Leondes and Novak is also shown.
- Stochastic Luenberger observer
- Minimal-order observer
- Two-stage filter