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Minimum Variance Distortionless Response Estimators For Linear Discrete State-Space Models

Chaumette, Eric and Priot, Benoit and Vincent, François and Pages, Gaël and Dion, Arnaud Minimum Variance Distortionless Response Estimators For Linear Discrete State-Space Models. (2017) IEEE Transactions on Automatic Control, 62 (4). 2048-2055. ISSN 0018-9286

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Official URL: http://dx.doi.org/10.1109/TAC.2016.2594384

Abstract

For linear discrete state-space models, under certain conditions, the linear least-mean-squares filter estimate has a convenient recursive predictor/corrector format, aka the Kalman filter. The purpose of this paper is to show that the linear minimum variance distortionless response (MVDR) filter shares exactly the same recursion, except for the initialization which is based on a weighted least-squares estimator. If the MVDR filter is sub-optimal in mean-squared error sense, it is an infinite impulse response distortionless filter (a deconvolver) which does not depend on the prior knowledge (first and second order statistics) on the initial state. In other words, the MVDR filter can be pre-computed and its behaviour can be assessed in advance independently of the prior knowledge on the initial state.

Item Type:Article
Additional Information:Thanks to the IEEE (Institute of Electrical and Electronics Engineers). This paper is available at : http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=9 “© 2017 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
HAL Id:hal-01414738
Audience (journal):International peer-reviewed journal
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Institution:Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
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Deposited By: Francois VINCENT
Deposited On:12 Dec 2016 14:10

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