Modified stochastic Luenberger observers

Chien S. Hsieh, Fu-Chuang Chen

Research output: Contribution to journalArticlepeer-review

7 Scopus citations


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 languageEnglish
Pages (from-to)1847-1854
Number of pages8
Issue number12
StatePublished - Dec 2000


  • Stochastic Luenberger observer
  • Minimal-order observer
  • Two-stage filter


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