EQUATIONS
Print ISSN: 2944-9146, E-ISSN: 2732-9976 An Open Access International Journal of Mathematical and Computational Methods in Science and Engineering
Volume 1, 2021
An Approach to Optimal Filtering of Time-Variant Systems via Finite Measurements
Authors: Snunyi Zhao, Yuriy Shmaliy
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.
Search Articles
Keywords: Optimal FIR filter, iterative algorithm, time-variant system, Kalman filter
Pages: 11-16
DOI: 10.37394/232021.2021.1.2
Equations, ISSN / E-ISSN: 2944-9146 / 2732-9976, Volume 1, 2021, Art. #2