Unbiased minimum variance estimation for systems with unknown exogenous inputs

Mohamed Darouach (1) , Michel Zasadzinski (1)

1 CRAN - Centre de Recherche en Automatique de Nancy

A new method is developed for the state estimation of linear discrete-time stochastic system in the presence of unknown disturbance. The obtained filter is optimal in the unbiased minimum variance sense. The necessary and sufficient conditions for the existence and the stability of the filter are given.

Mots clés: Minimum variance estimation; Kalman filter; Unknown disturbance; Stability; Convergence

Domaines: Automatique / Robotique

Mohamed Darouach, Michel Zasadzinski. Unbiased minimum variance estimation for systems with unknown exogenous inputs. Automatica, 1997, 33 (4), pp.717-719. ⟨10.1016/S0005-1098(96)00217-8⟩. ⟨hal-00098136⟩