Continuous-time errors-in-variables filtering

descriptionPublicationkeyboard_double_arrow_right Article , Conference object 27 Aug 2003Publisher:IEEEJournal:Proceedings of the 41st IEEE Conference on Decision and Control, 2002., volume 3, pages 2,576-2,581

Authors: Ivan Markovsky; Jan C. Willems; Bart De Moor;

doi: 10.1109/cdc.2002.1184226

Continuous-time errors-in-variables filtering

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Abstract

We consider estimation problems for a continuous-time linear system with a state disturbance and additive errors on the input and the output. The problem formulation and the estimation principle are deterministic. The derived filter is identical to the stochastic Kalman filter. The problem formulation with additive error on both the input and the output, however, is more symmetric then the classical Kalman filter one and allows interpretation in terms of misfit and latent variables.

Related Organizations

Katholieke Universiteit Leuven
Belgium
KU Leuven
Belgium

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