Information, covariance and square-root filtering in the presence of unknown inputs
Steven Gillijns, Niels Haverbeke, Bart De Moor · 2007
The optimal filtering problem for linear systems with unknown inputs is addressed. Based on recursive least-squares estimation, information formulas for joint input and state estimation are derived. By establishing duality relations to the Kalman filter equations, covariance and square-root forms of the formulas follow almost instantaneously.