Explicit construction of the minimum error variance estimator for stochastic LTI state-space systems
Optimization and Control
2023-01-03 v3 Machine Learning
Dynamical Systems
Machine Learning
Abstract
In this short article, we showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system output is not measured but is able to be predicted from the measured system outputs. Similar derivations have been done before but not using state-space representation.
Keywords
Cite
@article{arxiv.2109.02384,
title = {Explicit construction of the minimum error variance estimator for stochastic LTI state-space systems},
author = {Deividas Eringis and John Leth and Zheng-Hua Tan and Rafal Wisniewski and Mihaly Petreczky},
journal= {arXiv preprint arXiv:2109.02384},
year = {2023}
}