期刊名称：International Journal of Applied Mathematics and Computer Science
电子版ISSN：2083-8492
出版年度：2011
卷号：21
期号：4
DOI：10.2478/v10006-011-0049-3
出版社：De Gruyter Open
摘要：This paper studies recursive optimal filtering as well as robust fault and state estimation for linear stochastic systems with unknown disturbances. It proposes a new recursive optimal filter structure with transformation of the original system. This transformation is based on the singular value decomposition of the direct feedthrough matrix distribution of the fault which is assumed to be of an arbitrary rank. The resulting filter is optimal in the sense of the unbiased minimum-variance criteria. Two numerical examples are given in order to illustrate the proposed method, in particular to solve the estimation of the simultaneous actuator and sensor fault problem and to make a comparison with the existing literature results
关键词：Kalman filtering; minimum-variance estimation; state estimation; fault estimation; unknown disturbances; linear discrete-time systems
