Estimation of the state vector of a linear stochastic system with a constrained estimator
Masanao Aoki, James R. Huddle · IEEE Transactions on Automatic Control · 1967
The paper presents a constructive design procedure for the problem of estimating the state vector of a discrete-time linear stochastic system with time-invariant dynamics when certain constraints are imposed on the number of memory elements of the estimator. The estimator reconstructs the state vector exactly for deterministic systems while the steady-state performance in the stochastic case may be comparable to that obtained by the optimal (unconstrained) Wiener-Kalman filter.