Optimal Self-Tuning Filtering, Prediction, and Smoothing for Discrete Multivariable Processes

IEEE Transactions on Automatic Control

Volumn 29, Issue 2, 1984, Pages 128-137

  Moir, Thomas J ^a,b   Grimble, Michael J ^b  

^a SHEFFIELD HALLAM UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL SYSTEMS, DISCRETE TIME; CONTROL SYSTEMS, MULTIVARIABLE;

SIGNAL FILTERING AND PREDICTION;

EID: 0021376925     PISSN: 00189286     EISSN: 15582523     Source Type: Journal    
DOI: 10.1109/TAC.1984.1103464     Document Type: Article

References (24)

1. P. Hagander and B. Wittenmark, “A self-tuning filter for fixed-lag smoothing,” IEEE Trans. Inform. Theory, vol. IT-23, pp. 377-384, May 1977.
2. T. J. Moir and M. J. Grimble, “Finite interval smoothing for discrete time systems,” presented at the Int. Conf. Syst. Sci., Wroclaw, Poland, Sept. 1981.
3. V. Panuska, “A new form of the extended Kalman filter for parameter estimation in linear systems with correlated noise,” IEEE Trans. Automat. Contr., vol. AC-25, pp. 229-235, 1980.
4. V. Kucera, Discrete-Linear Control, The Polynomial Equation Approach. New York: Wiley, 1979.
5. C. C. Arcasoy, “Return difference matrix properties for optimal stationary discrete Kalman filter,” Proc. IEE, vol. 118, pp. 1831-1834, 1971.
6. T. Kailath, Lectures on Linear Least Squares Estimation. New York: Springer-Verlag, 1976.
7. U. Shaked, “A transfer function approach to the linear discrete stationary filtering and the steady state discrete optimal control problems,” Int. J. Contr., vol. 29, no. 2, pp. 279-291, 1979.
8. U. Shaked, “Transfer function approach to the fixed-point continuous smoothing problem,” IEEE Trans. Automat. Contr., vol. AC-23, pp. 945-948, Oct. 1978.
9. M. J. Grimble, “A finite time linear filter for discrete time systems,” Int. J. Contr., vol. 31, no. 3, pp. 413-432, 1980.
10. M. J. Grimble, “Solution of the linear estimation problem in the s-domain,” Proc. IEE, vol. 125, pp. 541-549, June 1978.
11. B. D. O. Anderson and J. B. Moore, Optimal Filtering. Englewood Cliffs, NJ: Prentice-Hall, 1979, p. 231.
12. A. P. Sage and J. L. Melsa, Estimation Theory with Applications to Communications and Control. New York: McGraw-Hill, p. 279.
13. B. Wittenmark, “A self-tuning predictor,” IEEE Trans. Automat. Contr., vol. AC-19, pp. 848-851, Dec. 1974.
14. J. T. Tanttu, “A self-tuning predictor for a class of multivariable stochastic processes,” Int. J. Contr., vol. 32, no. 2, pp. 359-370, 1980.
15. P. T. K. Fung and M. J. Grimble, “Self-tuning control of ship positioning systems,” presented at the LEE Workshop on the Theory and Application of Self-Tuning and Adaptive Control, Univ. Oxford, Oxford, England, Mar. 1981; contained in Self-Tuning & Adaptive Control, C. J. Harris and S. A. Billings, Ed. London, England: Peregrinus, 1981.
16. L. Ljung, “Analysis of recursive stochastic algorithms,” IEEE Trans. Automat. Contr., vol. AC-22, pp. 551-575, Aug. 1977.
17. L. Ljung, “Asymptotic behavior of the extended Kalman filter as a parametric estimator for linear systems,” IEEE Trans. Automat. Contr., vol. AC-24, pp. 36-50, Feb. 1979.
18. L. Ljung, “Convergence analysis of parametric identification methods,” IEEE Trans. Automat. Contr., vol. AC-23, pp. 770-783, Oct. 1978.
19. B. W. Dickinson, T. Kailath, and M. Morf, “Canonical matrix fraction and state-space descriptions for deterministic and stochastic linear systems,” IEEE Trans. Automat. Contr., vol. AC-19, pp. 656-667, Dec. 1974.
20. R. K. Mehra, “On the identification of variances and adaptive Kalman filtering,” IEEE Trans. Automat. Contr., vol. AC-15, pp. 175-184, Apr. 1970.
21. R. K. Mehra, “On-line identification of linear dynamic systems with applications to Kalman filtering,” IEEE Trans. Automat. Contr., vol. AC-16, pp. 12-21, Feb. 1971.
22. G. C. Goodwin, P. J. Ramadge, and P. E. Caines, “A globally convergent adaptive predictor,” Automatica, vol. 17, no. 1, pp. 135-140, 1981.
23. N. K. Sinha and Y. H. Kwong, “Recursive estimation of the parameters of linear multivariable systems,” Automatica, vol. 15, pp. 471-475, 1979.
24. S. Beghelli and R. Guidorzi, “A new input-output canonical form for multivariable systems,” IEEE Trans. Automat. Contr., vol. AC-21, pp. 692-696, Oct. 1976.