Extension of minimum variance estimation for systems with unknown inputs

@article{Darouach2003ExtensionOM,
  title={Extension of minimum variance estimation for systems with unknown inputs},
  author={Mohamed Darouach and Michel Zasadzinski and Mohamed Boutayeb},
  journal={Automatica},
  year={2003},
  volume={39},
  pages={867-876}
}
In this paper, we address the problem of minimum variance estimation for discrete-time time-varying stochastic systems with unknown inputs. The objective is to construct an optimal filter in the general case where the unknown inputs affect both the stochastic model and the outputs. It extends the results of Darouach and Zasadzinski (1997) where the unknown inputs are only present in the model. The main difficulty in treating this problem lies in the fact that the estimation error is correlated… CONTINUE READING

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