Abstract
Fast optimal estimates are often required in control and signal processing. In this paper, we discuss an approach to optimal finite impulse response (OFIR) filtering for discrete time-variant systems using finite measurements. The mean square error is minimized to obtain the batch OFIR algorithm which requires measurements on an a finite horizon of N points. Fast iterative algorithm is found using recursions. It is shown that each recursion has a predictor/corrector Kalman filter (KF)-like format with special initial conditions. In this sense, the KF is considered as a special case of the proposed iterative OFIR filtering algorithm when N approaches infinity for known initial conditions. It has been confirmed by simulation that the iterative form of the OFIR filter operates much faster than the batch form.
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