OPTIMAL REDUCED-ORDER ESTIMATORS IN THE FREQUENCY-DOMAIN - THE DISCRETE-TIME CASE

The discrete-time stationary Kalman filter problem is solved in the a-domain for nth-order systems with m outputs, where 0S; K:S; m measurements are noise-free. The design equations are very similar to the continuous-time cage, and they can be solved by spectral factorization, giving the polynomial matrix D(z) which parame- trizes the reduced-order optimal estimator in the frequency domain. By solving a single linear equation the equivalent time-domain representation for the optimal filter can also be obtained. A simple example demonstrates the filter design in the frequency domain. © 1990 Taylor and Francis Group, LLC.