Regular design equations for the continuous reduced-order Kalman filter

Abstract

Regular design equations for the continuous reduced-order Kalman filter Reduced-order Kalman filters yield an optimal state estimate for linear dynamical systems, where parts of the output are not corrupted by noise. The design of such filters can either be carried out in the time domain or in the frequency domain. Different from the full-order case where all measurements are noisy, the design equations of the reduced-order filter are not regular. This is due to the rank deficient measurement covariance matrix and it can cause problems when using standard software for the solution of the Riccati equations in the time domain. In the frequency domain the spectral factorization of the non-regular polynomial matrix equation does not cause problems. However, the known proof of optimality of the factorization result also requires a regular measurement covariance matrix. This paper presents regular (reduced-order) design equations for reduced-order Kalman filters in the time and in the frequency domains for linear continuous-time systems. They allow to use standard software for the design of the filter, to formulate the conditions for the stability of the filter and they also prove that the existing frequency domain solutions obtained by spectral factorization of a non-regular polynomial matrix equation are indeed optimal.