Return-difference matrix properties for optimal stationary Kalman-Bucy filter

Macfarlane A.G.J.

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Return-difference matrix properties for optimal stationary Kalman-Bucy filter

机译：最优固定式Kalman-Bucy滤波器的回波差矩阵属性

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A strikingly simple characterisation of the optimal stationary Kalman-Bucy filter is obtained in terms of the return-difference matrix for the associated feedback system. The spectral factorisation of the observation spectral-density matrix is shown to generate directly the appropriate return-difference matrix. This leads to a physical interpretation of the mechanism by which signal and noise are separated, which could form the basis of an approach to filter design.

机译：根据相关反馈系统的回波差矩阵，可以得到最优静态卡尔曼-Bucy滤波器的惊人简单特征。观测光谱密度矩阵的光谱分解显示为直接生成适当的回波差矩阵。这导致对信号和噪声分离机制的物理解释，这可以构成滤波器设计方法的基础。

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《Electrical Engineers, Proceedings of the Institution of》 |1971年第2期|共4页
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Macfarlane A.G.J.;
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University of Manchester Institute of Science & Technology, Department of Electrical Engineering & Electronics, Manchester, UK;

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1. Return-difference-matrix properties for optimal stationary discrete Kalman filter [J] . Arcasoy C.C. Electrical Engineers, Proceedings of the Institution of . 1971,第12期

机译：最佳固定离散卡尔曼滤波器的回波差矩阵属性
2. Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems [J] . Wang GC, Wu Z Journal of Mathematical Analysis and Applications . 2008,第2期

机译：正向和反向随机系统的Kalman-Bucy滤波方程及其在递归最优控制问题中的应用
3. Comparative study of sliding mode, optimal, and extended Kalman-Bucy filters performance for quadratic stochastic systems [J] . Basin MV, Gonzalez JGR Dynamics of continuous, discrete & impulsive systems, Series B. Applications & algorithms . 2007,第1期

机译：二次随机系统的滑模，最优和扩展卡尔曼-Bucy滤波器性能比较研究
4. Bounds on the Covariance Matrix of a Class of Kalman-Bucy Filters for Systems with Non-Linear Dynamics [C] . Toni Karvonen, Silvère Bonnabel, Eric Moulines, IEEE Conference on Decision and Control . 2018

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5. Analysis and design of optimum block matrix filters with prescribed system constraints [D] . Corral, Celestino Anastasio 1993

机译：具有预定系统约束的最佳块矩阵滤波器的分析和设计
6. Optimally Distributed Kalman Filtering with Data-Driven Communication [O] . Katharina Dormann, Benjamin Noack, Uwe D. Hanebeck 2018

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7. A Frequency-Domain Characterization of Optimal Error Covariance for the Kalman-Bucy Filter [O] . Song Fang, Hideaki Ishii, Jie Chen, 2018

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8. Optimal Control and Filter Gains for the Stationary Continuous or Discrete Time LQG Problem - A FORTRAN Program [R] . Ozimina, C. D. 1984

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Return-difference matrix properties for optimal stationary Kalman-Bucy filter

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