Abstract

HERNANDEZ, L. D.  and  MILOCCO, R. H.. Sampled-data minimum variance filtering. Lat. Am. appl. res. [online]. 2005, vol.35, n.2, pp.121-127. ISSN 0327-0793.

This paper deals with the optimal solution to the sampled-data minimum variance filtering problem for linear systems with noise in the states and in the measurements. The solution is derived in the time-domain by using a fast sampling zero-order hold input discretization of the continuous time systems together with a lifting technique. The original sampled-data system is transformed into an equivalent LTI discrete-time system with infinite-dimensional input-output space. However, the designed filter is finite-dimensional. We derive both the existence conditions and the explicit expression of the desired filter and provide an illustrative numerical example.

Keywords : Filtering; Lifting; T-Periodic Systems; Sampled-Data.

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