Hybrid Estimators for Discrete-Time Stochastic Systems

Abstract

The problem of estimating the state of a linear discrete-time system from input-output data in the presence of input disturbance noise when some of the outputs are not obscured by output measurement noise is considered. The proposed hybrid estimator gives the linear least squares state estimate and has order less than the order of the system whose state is being estimated by the number of outputs which are not obscured by noise.