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 ...
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