Discrete-time reduced-order estimator design for bilinear stochastic systems with error covariance assignment |
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Authors: | Wang, Zidong Burnhan, K. J. |
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Affiliation: | 1 Department of Mathematics, University of Kaiserslautern, D-67663, Kaiserslautern, Germany 2 The Control Theory and Applications Centre, School of Mathematical and Information Sciences, Coventry University, Coventry CV1 5FB, UK |
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Abstract: | This paper is concerned with the design of reduced-order stateestimators for bilinear stochastic discrete-time systems subjectedto estimation error covariance assignment. The purpose of theproblem addressed is to design the reduced-order state estimators for the bilinear stochastic discrete-time systems such thatthe steady-state estimation error covariances achieve the prespecified values. A simple, effective matrix inequality approach is developed to solve this problem. Specifically, (1) the parameterisationof estimation error covariances that certain bilinear errordynamic processes may possess is presented, (2) the characterisationof all reduced-order state estimators that assign such errorcovariances is explicitly derived, and (3) the solvabilityof the assignability conditions is discussed. Furthermore,an illustrative example is used to demonstrate the effectivenessof the proposed design procedure. |
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Keywords: | bilinear stochastic systems reduced-order state estimation algebraic matrix inequality estimation error variance discrete-time systems. |
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