Journal of Institute of Control, Robotics and Systems (제어로봇시스템학회논문지)

Institute of Control, Robotics and Systems (제어로봇시스템학회)
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An Optimal Fixed-lag FIR Smoother for Discrete Time-varying State Space Models

이산 시변 상태공간 모델을 위한 최적 고정 시간 지연 FIR 평활기

  • Kwon, Bo-Kyu (The Department of Control and Instrumentation Engineering, Kangwon National University) ;
  • Han, Soohee (The Department of Electrical Engineering, Konkuk University)
  • 권보규 (강원대학교 공학대학 제어계측공학과) ;
  • 한수희 (건국대학교 공과대학 전기공학과)
  • Received : 2013.07.24
  • Accepted : 2013.10.28
  • Published : 2014.01.01
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Abstract

In this paper, we propose an optimal fixed-lag FIR (Finite-Impulse-Response) smoother for a class of discrete time-varying state-space signal models. The proposed fixed-lag FIR smoother is linear with respect to inputs and outputs on the recent finite horizon and estimates the delayed state so that the variance of the estimation error is minimized with the unbiased constraint. Since the proposed smoother is derived with system inputs, it can be adapted to feedback control system. Additionally, the proposed smoother can give more general solution than the optimal FIR filter, because it reduced to the optimal FIR filter by setting the fixed-lag size as zero. A numerical example is presented to illustrate the performance of the proposed smoother by comparing with an optimal FIR filter and a conventional fixed-lag Kalman smoother.

Keywords

References

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