1. Recursive Optimal Finite Impulse Response Filter and Its Application to Adaptive Estimation
- Author
-
Bokyu Kwon and Sang-il Kim
- Subjects
finite impulse response ,recursive estimation ,Kalman filter ,adaptive filtering ,Technology ,Engineering (General). Civil engineering (General) ,TA1-2040 ,Biology (General) ,QH301-705.5 ,Physics ,QC1-999 ,Chemistry ,QD1-999 - Abstract
In this paper, the recursive form of an optimal finite impulse response filter is proposed for discrete time-varying state-space models. The recursive form of the finite impulse response filter is derived by employing finite horizon Kalman filtering with optimally estimated initial conditions. The horizon initial state and its error covariance on the horizon are optimally estimated by using recent finite measurements, in the sense of maximum likelihood estimation, then initiating the finite horizon Kalman filter. The optimality and unbiasedness of the proposed filter are proved by comparison with the conventional optimal finite impulse response filter in batch form. Moreover, an adaptive FIR filter is also proposed by applying the adaptive estimation scheme to the proposed recursive optimal FIR filter as its application. To evaluate the performance of the proposed algorithms, a computer simulation is performed to compare the conventional Kalman filter and adaptive Kalman filters for the gas turbine aircraft engine model.
- Published
- 2022
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