Regularization of the matrix Riccati equation in optimal estimation problem with low measurement noise

8th Workshop on Multi-Rate Processes and Hysteresis;HSFS Workshop (Hysteresis and Slow-Fast Systems)

Osintcev, Mikhail^1 ; Sobolev, Vladimir^2

Department of Mathematics, North Carolina State University, Raleigh

NC

27695, United States^1

Samara National Research University, Moskovskoe shosse, 34, Samara

443086, Russia^2

关键词: Crank mechanism;    Kalman-Bucy filter;    Matrix Riccati equation;    Measurement Noise;    Optimal estimation problems;    Order reduction;    Periodic solution;    Singularly perturbed systems;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/811/1/012009/pdf
DOI  :  10.1088/1742-6596/811/1/012009

来源: IOP

【 摘 要 】

We explore the possibility of applying the method of order reduction of optimal estimation problem for singularly perturbed systems with low measurement noise. It is shown that matrix Riccati equation for the Kalman-Bucy filter has a periodic solution. An optimal filter is constructed for a dynamic model of a crank mechanism.