Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 2792-2797 |
| Number of pages | 6 |
| Journal | Measurement: Journal of the International Measurement Confederation |
| Volume | 46 |
| Issue number | 8 |
| DOIs | |
| Publication status | Published - 2013 Jun 21 |
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Keywords
- Colored noises
- Finite impulse response (FIR) structure
- Inverse partitioned matrix
- State augmentation
- State estimation
ASJC Scopus subject areas
- Condensed Matter Physics
- Applied Mathematics
Cite this
Time-domain filtering for estimation of linear systems with colored noises using recent finite measurements. / Choi, Hyun Duck; Ahn, Choon Ki; Lim, Myo Taeg.
In: Measurement: Journal of the International Measurement Confederation, Vol. 46, No. 8, 21.06.2013, p. 2792-2797.Research output: Contribution to journal › Article
}
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
PY - 2013/6/21
Y1 - 2013/6/21
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
UR - http://www.scopus.com/inward/record.url?scp=84879056222&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84879056222&partnerID=8YFLogxK
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
JF - Measurement
SN - 1536-6367
IS - 8
ER -