On the optimality of the Kitanidis filter for state estimation rejecting unknown inputs

As a natural extension of the Kalman filter to systems subject to arbitrary unknown inputs, the Kitanidis filter has been designed by one-step minimization of the trace of the state estimation error covariance matrix. In this technical communiqué, it is shown that the Kitanidis filter is also optima...

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Bibliographic Details
Published inAutomatica (Oxford) Vol. 132; p. 109793
Main Authors Delyon, Bernard, Zhang, Qinghua
Format Journal Article
LanguageEnglish
Published Elsevier Ltd 01.10.2021
Elsevier
Subjects
Automatic Control Engineering
Computer Science
Disturbance rejection
Kalman filter
Optimal state estimation
Time varying system
Unknown input observer
Time varying system
Unknown input observer
Disturbance rejection
Optimal state estimation
Kalman filter
unknown input observer
disturbance rejection
time varying system
optimal state estimation
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Summary:As a natural extension of the Kalman filter to systems subject to arbitrary unknown inputs, the Kitanidis filter has been designed by one-step minimization of the trace of the state estimation error covariance matrix. In this technical communiqué, it is shown that the Kitanidis filter is also optimal for the whole gain sequence in the sense of matrix positive definiteness, which notably implies that the Kitanidis filter minimizes not only the trace criterion, but also the matrix spectral norm criterion.
ISSN:0005-1098
1873-2836
DOI:10.1016/j.automatica.2021.109793