Minimax linear dynamic filters of minimal dimension for the variables of linear dynamic plants (Q1091336)

This paper deals with the problem of estimating the state vector of a linear system driven by a coloured noise. The measurements are corrupted by additive coloured noise. The dimension of the optimal filter may be much larger than the dimension of the plant owing to the shaping filters modelling the coloured noises. The problem of designing an optimal linear filter whose dimension does not exceed the dimension of the plant is soved by a minimax linear filtering formulation. Some examples are given.