论文信息 - On performance limitations in estimation

On performance limitations in estimation

In this paper, we address the performance limitation issues in estimation problems. Specifically, we study the performance limitations in four cases: (1) estimating the output of an LTI system under the corruption of a white noise, (2) estimating a Brownian motion input of an LTI system from the output measurement, (3) estimating the output of an LTI system under the corruption of a Brownian noise, (4) estimating a white noise input of an LTI system from the output measurement. In each case we find and characterize explicitly how the best achievable estimation errors may relate to certain simple, intrinsic system characteristics.

[1] G. Goodwin,et al. Fundamental design tradeoffs in filtering, prediction, and smoothing , 1997, IEEE Trans. Autom. Control..

[2] Graham C. Goodwin,et al. Fundamental Limitations in Filtering and Control , 1997 .

[3] Li Qiu,et al. Time domain characterizations of performance limitations of feedback control , 1999 .

[4] B. Anderson,et al. Optimal Filtering , 1979, IEEE Transactions on Systems, Man, and Cybernetics.

[5] Li Qiu,et al. Limitations on maximal tracking accuracy. I. Tracking step signals , 1996, Proceedings of 35th IEEE Conference on Decision and Control.

[6] David Q. Mayne,et al. Limiting performance of optimal linear filters , 1999, Autom..

[7] Graham C. Goodwin,et al. Trade-offs in linear filter design , 1995, Autom..

[8] Edward J. Davison,et al. Performance limitations of non-minimum phase systems in the servomechanism problem, , 1993, Autom..

[9] Huibert Kwakernaak,et al. Linear Optimal Control Systems , 1972 .

[10] K. Åström. Introduction to Stochastic Control Theory , 1970 .