Fast bias-constrained optimal FIR filtering for time-invariant state space models

Zhao, S., Shmaliy, Y. S., Ji, G. & Khan, S. (2016). Fast bias-constrained optimal FIR filtering for time-invariant state space models. International Journal of Adaptive Control and Signal Processing, doi: 10.1002/acs.2747

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Abstract

This paper combines the finite impulse response filtering with the Kalman structure (predictor/corrector) and proposes a fast iterative bias-constrained optimal finite impulse response filtering algorithm for linear discrete time-invariant models. In order to provide filtering without any requirement of the initial state, the property of unbiasedness is employed. We first derive the optimal finite impulse response filter constrained by unbiasedness in the batch form and then find its fast iterative form for finite-horizon and full-horizon computations. The corresponding mean square error is also given in the batch and iterative forms. Extensive simulations are provided to investigate the trade-off with the Kalman filter. We show that the proposed algorithm has much higher immunity against errors in the noise covariances and better robustness against temporary model uncertainties. The full-horizon filter operates almost as fast as the Kalman filter, and its estimate converges with time to the Kalman estimate.

Item Type: Article
Additional Information: This is the peer reviewed version of the following article: Zhao, S., Shmaliy, Y. S., Ji, G. & Khan, S. (2016). Fast bias-constrained optimal FIR filtering for time-invariant state space models. International Journal of Adaptive Control and Signal Processing, which has been published in final form at https://dx.doi.org/10.1002/acs.2747. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Uncontrolled Keywords: state estimation; finite impulse response filter; Kalman filter; unbiasedness; optimal estimate
Subjects: T Technology > TK Electrical engineering. Electronics Nuclear engineering
Divisions: School of Engineering & Mathematical Sciences > Engineering
URI: http://openaccess.city.ac.uk/id/eprint/16917

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