The optimal projection equations for reduced-order state estimation: The singular measurement noise case
Wassim M. Haddad, Dennis S. Bernstein · IEEE Transactions on Automatic Control · 1987
The optimal projection equations for reduced-order state estimation are generalized to allow for singular (i.e., colored) measurement noise. The noisy and noise-free measurements serve as inputs to dynamic and static estimators, respectively. The optimal solution is characterized by necessary conditions which involve a pair of oblique projections corresponding to reduced estimator order and singular measurement noise intensity.