The Design of an Optimal Observer for Linear Discrete-Time Dynamical Systems,

摘要

The report investigates the idea of using Luenberger's minimal-order observer as an alternate to the Kalman filter for obtaining state estimates in linear discrete-time stochastic systems. More specifically,the report presents a solution to the problem of constructing as optimal minimal-order observer for linear discrete-time stochastic systems where optimality is in the mean-square sense. The approach taken in this report leads to a completely unified theory for the design of optimal minimal-order observers and is applicable to both time-varying and time-invariant linear discrete systems. (Author)