Rapid estimation and detection scheme for unknown discretized rectangular inputs
R.V. Sonalkar, C. Shen · IEEE Transactions on Automatic Control · 1975
An algorithm to detect unknown discretized rectangular inputs and to estimate the state simultaneously, has been described in this note. The discretized rectangular input is represented by a sequence of equal magnitude inputs to the state. Four alternate hypotheses are formed at every stage of observation and Bayes risks are compared to determine the correct one. A minimum variance estimate of the inputs is used to improve the estimate of the state. Computer results from a numerical example are shown to demonstrate that a possible divergence of the Kalman filter can be prevented by incorporating the detection scheme.