Abstract
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.
Original language | English |
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Pages (from-to) | 1847-1854 |
Number of pages | 8 |
Journal | Automatica |
Volume | 36 |
Issue number | 12 |
DOIs | |
State | Published - Dec 2000 |
Keywords
- Stochastic Luenberger observer
- Minimal-order observer
- Two-stage filter