Stochastic Systems

On a version and properties of a lower-order estimate

V. V. Dombrovskii

Tomsk

Abstract: The properties of a lower-order filter [1] forevaluating linear transforms of the state vector for a discrete-time linear system are discussed. The estimate error is shown to be orthogonal to the estimate and observation. Recognition of error and estimate orthogonality significantly simplifies computation of filter parameters. For a filter version the design and optimization of the linear transform matrix of state vector are simplified.

UDC: 62-501.47:621.391.272


Received: 11.11.1982

 English version: Automation and Remote Control, 1984, 45:6, 738–741

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