Optimal state estimators for linear systems with unknown inputs
Hadjicostis, Christoforos N.
SourceProceedings of the IEEE Conference on Decision and Control
Proceedings of the IEEE Conference on Decision and Control
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We present a method for constructing linear minimum-variance unbiased state estimators for discrete-time linear stochastic systems with unknown inputs. Our design provides a characterization of estimators with delay, which eases the established necessary conditions for existence of unbiased estimators with zero-delay. A consequence of using delayed estimators is that the noise affecting the system becomes correlated with the estimation error. We handle this correlation by increasing the dimension of the estimator appropriately. © 2006 IEEE.