Unbiased minimum variance estimation for systems with unknown exogenous inputs

  title={Unbiased minimum variance estimation for systems with unknown exogenous inputs},
  author={Mohamed Darouach and Michel Zasadzinski},
A new method is developed for the state estimation of linear discrete-time stochastic system in the presence of unknown disturbance. The obtained filter is optimal in the unbiased minimum variance sense. The necessary and sufficient conditions for the existence and the stability of the filter are given. 
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