Optimal Nonlinear Estimation of Linear Stochastic Systems: The Multivariable Extension

[+] Author and Article Information
M. A. Hopkins

Department of Electrical Engineering, Gleason Building, Rochester Institute of Technology, 1 Lomb Memorial Drive, Rochester, NY 14623

H. F. VanLandingham

Virginia Polytechnic Institute and State University, Blacksburg, VA 24061

J. Dyn. Sys., Meas., Control 118(2), 350-353 (Jun 01, 1996) (4 pages) doi:10.1115/1.2802328 History: Received February 01, 1994; Revised November 01, 1994; Online December 03, 2007


This paper extends to multi-input multi-output (MIMO) systems a nonlinear method of simultaneous parameter and state estimation that appeared in the ASME JDSM&C (September, 1994), for single-input single-output (SISO) systems. The method is called pseudo-linear identification (PLID), and applies to stochastic linear time-invariant discrete-time systems. No assumptions are required about pole or zero locations; nor about relative degree, except that the system transfer functions must be strictly proper. In the earlier paper, proofs of optimality and convergence were given. Extensions of those proofs to the MIMO case are also given here.

Copyright © 1996 by The American Society of Mechanical Engineers
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