Robust Filtering Based on Probabilistic Descriptions of
2nd IFAC Workshop on System Structure and Control,
Prague, Czechoslovakia, September 3-5, 1992,
In Postscript :
compressed(gz) 67K ,
In Pdf 286K.
A new approach to robust estimation of signals and
prediction of time-series is considered.
Signal and system parameter deviations are represented
as random variables, with known covariances.
A robust design is obtained
by minimizing the squared estimation error, averaged both
with respect to model errors and noise.
A polynomial solution, based on
averaged spectral factorizations and averaged
Diophantine equations, is derived. The robust
estimator is called a cautious Wiener filter. It
turns out to be no more
complicated to design than an ordinary Wiener filter.
- Related publications:
Paper in Automatica 1993,
with robust Wiener design and a feedforward design example.
Paper in IEEE Trans. AC 1995,
on robust MIMO Wiener filters and feedforward controllers.
by Kenth Öhrn May 1996.
on the corresponding dual design of robust feedforward controllers.
This material is presented to ensure timely dissemination
of scholarly and technical work. Copyright and all rights
therein are retained by authors.
All persons copying this information are expected to
adhere to the terms and constraints invoked by each authors
copyright. This work may not be reposted
without the explicit permission of the copyright holders.