TY - JOUR
T1 - Time-domain filtering for estimation of linear systems with colored noises using recent finite measurements
AU - Choi, Hyun Duck
AU - Ahn, Choon Ki
AU - Lim, Myo Taeg
N1 - Funding Information:
This work was supported by R&D Program of MOTIE/KEIT, Korea. The authors would like to thank the Ministry of Trade, Industry and Energy, Korea. (No: 10041779, Development of Energy Demand Response System for Smart Home).
Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 2013
Y1 - 2013
N2 - To date, finite impulse response (FIR) filters have been proposed to estimate linear systems with white Gaussian noises, but to the best of our knowledge, no solution exists for linear systems with colored noises. In this paper, we propose a new FIR filter to estimate linear state-space models with both process and measurement noises through state augmentation. In addition, we suggest a modified form of the colored-noise FIR filter to deal with the computational burden and singularity problem. Numerical examples are presented to describe the effectiveness of the colored-noise FIR filter.
AB - To date, finite impulse response (FIR) filters have been proposed to estimate linear systems with white Gaussian noises, but to the best of our knowledge, no solution exists for linear systems with colored noises. In this paper, we propose a new FIR filter to estimate linear state-space models with both process and measurement noises through state augmentation. In addition, we suggest a modified form of the colored-noise FIR filter to deal with the computational burden and singularity problem. Numerical examples are presented to describe the effectiveness of the colored-noise FIR filter.
KW - Colored noises
KW - Finite impulse response (FIR) structure
KW - Inverse partitioned matrix
KW - State augmentation
KW - State estimation
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U2 - 10.1016/j.measurement.2013.03.029
DO - 10.1016/j.measurement.2013.03.029
M3 - Article
AN - SCOPUS:84879056222
VL - 46
SP - 2792
EP - 2797
JO - Measurement: Journal of the International Measurement Confederation
JF - Measurement: Journal of the International Measurement Confederation
SN - 0263-2241
IS - 8
ER -