Design of Multivariable Cautious Discrete-time Wiener Filters: A Probabilistic Approach (1996)
Abstract / truncated to 115 words
A new approach to robust filtering, prediction, smoothing and open-loop control of discrete-time signal vectors is presented. Linear time-invariant filters are designed to be insensitive to spectral uncertainty in signal models. The goal is to obtain a simple design method, leading to filters which are not overly conservative. Modelling errors are described by sets of time-invariant models, parameterized by random variables with known covariances. These covariances could either be estimated from data, or be used as robustness ``tuning knobs". A robust design is obtained by minimizing the H-2 norm, averaged with respect to the assumed model errors. A polynomial matrix solution, based on an averaged spectral factorization and a Diophantine equation, is derived. The robust ...
Information
- Author
- Ohrn, Kenth
- Institution
- Uppsala University
- Supervisor
- Publication Year
- 1996
- Upload Date
- July 3, 2008
The current layout is optimized for mobile phones. Page previews, thumbnails, and full abstracts will remain hidden until the browser window grows in width.
The current layout is optimized for tablet devices. Page previews and some thumbnails will remain hidden until the browser window grows in width.