A Fast Algorithm for Errors-in-Variables Filtering

被引：1

作者：

Diversi, Roberto ^{[1
]}

机构：

[1] Univ Bologna, Dept Elect Comp Sci & Syst, I-40136 Bologna, Italy

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2012年 / 57卷 / 05期

关键词：

Errors-in-variables (EIV) models; linear filtering; optimal filtering; recursive filtering; MATRICES; MODELS;

D O I：

10.1109/TAC.2011.2173423

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This note concerns the optimal estimation of the input and output sequences of linear time-invariant errors-in-variables (EIV) processes. An efficient recursive filtering algorithm is proposed. It is an innovation-based approach that relies on the triangular decomposition of block Toeplitz matrices introduced in [1]. Unlike the other algorithms described in the literature, the proposed one is characterized by a computational complexity which increases only linearly with the order of the process. Both the SISO and MIMO cases are analyzed. An extension of the described algorithm to EIV models with colored input and output noises is considered as well.

引用

页码：1303 / 1309

页数：7

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