An Approach to Optimal Filtering of Time-Variant Systems via Finite Measurements-Reference-Cited by-同舟云学术

An Approach to Optimal Filtering of Time-Variant Systems via Finite Measurements

Published:2021-02-02 Issue: Volume:1 Page:11-16
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Author:

Zhao Snunyi¹,Shmaliy Yuriy²

Affiliation:

1. Jiangnan University Institute of Automation 214122, Wuxi P.R.CHINA

2. Universidad de Guanajuato Electronics Engineering Dept. 36885, Salamanca MEXICO

Abstract

Fast optimal estimates are often required in control and signal processing. In this paper, we discuss an approach to optimal finite impulse response (OFIR) filtering for discrete time-variant systems using finite measurements. The mean square error is minimized to obtain the batch OFIR algorithm which requires measurements on an a finite horizon of N points. Fast iterative algorithm is found using recursions. It is shown that each recursion has a predictor/corrector Kalman filter (KF)-like format with special initial conditions. In this sense, the KF is considered as a special case of the proposed iterative OFIR filtering algorithm when N approaches infinity for known initial conditions. It has been confirmed by simulation that the iterative form of the OFIR filter operates much faster than the batch form.

Publisher

World Scientific and Engineering Academy and Society (WSEAS)

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