The Errors-in-Variables (EIV) stochastic environment constitutes a superset of most common stochastic environments considered, for instance, in Kalman filtering or in equation-error identification here the process input is assumed as noise-free. Errors-in-variables models assume, on the contrary, the presence of unknown additive noise also on the inputs; the associated filtering procedures concern thus the optimal (minimal variance) estimation not only of the system state and output but also of the input. Optimal EIV filtering has been formulated and solved only recently making reference to SISO models; this paper extends the efficient algorithm proposed recently by the authors, based on the Cholesky factorization, to the more general multivariable case.

Optimal errors-in-variables filtering in the MIMO case / R. Diversi; R. Guidorzi; U. Soverini. - ELETTRONICO. - (2005). (Intervento presentato al convegno 16th IFAC World Congress tenutosi a Praga, Repubblica Ceca nel 3-8 Luglio 2005).

Optimal errors-in-variables filtering in the MIMO case

DIVERSI, ROBERTO;GUIDORZI, ROBERTO;SOVERINI, UMBERTO
2005

Abstract

The Errors-in-Variables (EIV) stochastic environment constitutes a superset of most common stochastic environments considered, for instance, in Kalman filtering or in equation-error identification here the process input is assumed as noise-free. Errors-in-variables models assume, on the contrary, the presence of unknown additive noise also on the inputs; the associated filtering procedures concern thus the optimal (minimal variance) estimation not only of the system state and output but also of the input. Optimal EIV filtering has been formulated and solved only recently making reference to SISO models; this paper extends the efficient algorithm proposed recently by the authors, based on the Cholesky factorization, to the more general multivariable case.
2005
Preprints of the 16th IFAC World Congress
Optimal errors-in-variables filtering in the MIMO case / R. Diversi; R. Guidorzi; U. Soverini. - ELETTRONICO. - (2005). (Intervento presentato al convegno 16th IFAC World Congress tenutosi a Praga, Repubblica Ceca nel 3-8 Luglio 2005).
R. Diversi; R. Guidorzi; U. Soverini
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/6453
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