Abstract
This paper is concerned with the design of reduced-order state estimators for bilinear stochastic discrete-time systems subjected to estimation error covariance assignment. The purpose of the problem addressed is to design the reduced-order state estimators for the bilinear stochastic discrete-time systems such that the steady-state estimation error covariances achieve the prespecified values. A simple, effective matrix inequality approach is developed to solve this problem. Specifically, (1) the parameterisation of estimation error covariances that certain bilinear error dynamic processes may possess is presented, (2) the characterisation of all reduced-order state estimators that assign such error covariances is explicitly derived, and (3) the solvability of the assignability conditions is discussed. Furthermore, an illustrative example is used to demonstrate the effectiveness of the proposed design procedure.
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More From: IMA Journal of Mathematical Control and Information
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