IEEE Transactions on Automatic Control, Vol.40, No.1, 165-169, 1995
Discrete-Time Observers with Random Noises in Dynamic Block
The minimum variance state estimation of linear stochastic discrete-time systems by an observer of reduced-order is investigated. There is an additional random noise with known intensity in the dynamic block of the observer. The local optimal reduced-order state estimator is found which takes into account the presence of such noise. The equations of an optimal stationary observer are derived for linear stochastic time-invariant system.