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RESEARCH PAPERS

Steady-State Optimal State and Input Observer for Discrete Stochastic Systems

[+] Author and Article Information
Y. Park

Department of Mechanical Engineering, New Jersey Institute of Technology, Newark, NJ 07102

J. L. Stein

Department of Mechanical Engineering and Applied Mechanics, University of Michigan, Ann Arbor, MI 48109

J. Dyn. Sys., Meas., Control 111(2), 121-127 (Jun 01, 1989) (7 pages) doi:10.1115/1.3153026 History: Received July 01, 1987; Revised May 31, 1988; Online July 21, 2009

Abstract

Model-based machine diagnostics techniques require the modeled states and machine inputs to be measured. Because measurement of all the states and inputs is not always possible or practical, a simultaneous state and input observer is required. Previous work has developed this type of acausal observer and shown it is susceptible to noise. This paper develops a steady-state optimal observer that minimizes the trace of the steady-state error covariance of the state and input estimates for discrete, linear, time-invariant, stochastic systems with unknown inputs. In addition, a method to distinguish the best measurement set among the available measurement sets is developed. Results from numerical simulations show that the optimal observer can greatly improve estimation results in some cases.

Copyright © 1989 by ASME
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