Near optimal smoothing for singularly perturbed linear systems

D. Altshuler*, A. H. Haddad

*Corresponding author for this work

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

A two time-scale lower order design is proposed as a near optimal solution to the fixed-interval smoothing problem for systems with slow and fast modes. The slow mode smoothing solution, in the limit as the perturbation parameter μ → 0, tends to that of the reduced-order problem; and the near optimal fast mode smoother is simply a weighted sum of lower order two time-scale filters. While the near optimal solution affords a significant reduction in computational complexity, the performance degradation, as illustrated in an example, is typically negligible.

Original languageEnglish (US)
Pages (from-to)81-87
Number of pages7
JournalAutomatica
Volume14
Issue number1
DOIs
StatePublished - Jan 1978

Keywords

  • Kalman filters
  • Perturbation techniques
  • smoothing
  • state estimation
  • stochastic systems
  • system order reduction

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Electrical and Electronic Engineering

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