Limiting performance of optimal linear filters

被引：37

作者：

Braslavsky, JH ^{[1
]}

Seron, MM

Mayne, DQ

Kokotovic, PV

机构：

[1] Univ Newcastle, Ctr Integrated Dynam & Control, Newcastle, NSW 2308, Australia

[2] Univ London Imperial Coll Sci Technol & Med, Dept Elect & Elect Engn, London SW7 2BT, England

[3] Univ Calif Santa Barbara, Ctr Control Engn & Computat, Santa Barbara, CA 93106 USA

来源：

AUTOMATICA | 1999年 / 35卷 / 02期

基金：

美国国家科学基金会;

关键词：

optimal filtering; performance limits; non-minimum phase systems; unstable; singular perturbations;

D O I：

10.1016/S0005-1098(98)00144-7

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We study the lowest achievable mean-square estimation error in two limiting optimal linear filtering problems. First, when the intensity of the process noise tends to zero, the lowest achievable mean-square estimation error is a function of the unstable poles of the system. Second, when the intensity of the measurement noise tends to zero, the lowest achievable mean-square estimation error is a function of the nonminimum phase zeros of the system. We link these results with Bode integral characterisations of performance limitations in linear filtering. (C) 1999 Elsevier Science Ltd. All rights reserved.

引用

页码：189 / 199

页数：11

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