On existence, optimality and asymptotic stability of the Kalman filter with partially observed inputs
For linear stochastic time-varying systems, we investigate the properties of the Kalman filter with partially observed inputs. We first establish the existence condition of a general linear filter when the unknown inputs are partially observed. Then we examine the optimality of the Kalman filter with partially observed inputs. Finally, on the basis of the established existence condition and optimality result, we investigate asymptotic stability of the filter for the corresponding time-invariant systems. It is shown that the results on existence and asymptotic stability obtained in this paper provide a unified approach to accommodating a variety of filtering scenarios as its special cases, including the classical Kalman filter and state estimation with unknown inputs.
This work was jointly funded by UK Engineering and Physical Sciences Research Council (EPSRC) [grant number EP/H501401/1] and BAE Systems.
- Aeronautical, Automotive, Chemical and Materials Engineering
- Aeronautical and Automotive Engineering