Abstract
The problem of constructing optimum observers (filters) of different dynamic orders is considered for stochastic control objects in discrete time. Analytical expressions are obtained for the transfer functions of filters,which allow us to calculate the quadratic optimality criterion. With an example of a fourth-order system, the constructed filters are compared by the mean-square observation error in the steady state.
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Funding
This work was supported by the Russian Foundation for Basic Research, project nos. 20-37-90065 and 20-08-00073.
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Translated by I. Tselishcheva
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Kamenshchikov, M.A. Transfer Functions of Optimum Filters of Different Dynamic Orders for Discrete Systems. MoscowUniv.Comput.Math.Cybern. 45, 60–70 (2021). https://doi.org/10.3103/S0278641921020035
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DOI: https://doi.org/10.3103/S0278641921020035