An Approach to Optimal Filtering of Time-Variant Systems via Finite Measurements

Authors: ,

Abstract: Fast optimal estimates are often required in control and signal processing. In this paper, we discuss an approach to optimal finite impulse response (OFIR) filtering for discrete time-variant systems using finite measurements. The mean square error is minimized to obtain the batch OFIR algorithm which requires measurements on an a finite horizon of N points. Fast iterative algorithm is found using recursions. It is shown that each recursion has a predictor/corrector Kalman filter (KF)-like format with special initial conditions. In this sense, the KF is considered as a special case of the proposed iterative OFIR filtering algorithm when N approaches infinity for known initial conditions. It has been confirmed by simulation that the iterative form of the OFIR filter operates much faster than the batch form.

Equations, ISSN / E-ISSN: 2944-9146 / 2732-9976, Volume 1, 2021, Art. #2

PDF
DOI
XML
Cite
×
Citation Tools
WSEAS AMA
Snunyi Zhao, Yuriy Shmaliy, "An Approach to Optimal Filtering of Time-Variant Systems via Finite Measurements," Equations, vol. 1, pp. 11-16, 2021, DOI:10.37394/232021.2021.1.2
Snunyi Zhao, Yuriy Shmaliy. An Approach to Optimal Filtering of Time-Variant Systems via Finite Measurements. Equations. 2021;1:11-16. 10.37394/232021.2021.1.2
Copy to Clipboard
Citation copied to Clipboard

Certification

---