Design of single linear functional filters
Eiji Kondo, Teruo Sunaga, Ryuji Sakamoto · International Journal of Control · 1979
This paper treats the simultaneous design problem of a single linear functional filter (SLFF) and a feedback gain for the so-called single-input linear-quadratic-gaussian (LQG) problem. The SLFF is a linear unbiased filter which estimates a scalar-valued linear function of the system state, and is generally of lower order than the Kalman-Bucy filter. A canonical form, the minimal order and the optimal design procedure of an SLFF are obtained for the steady-state case. Finally, the results are compared with the Kalman-Bucy filter by an example.