Observer/Kalman-Filter Time-Varying System Identification

the Kalman filter in the stochastic environment and an asymptotically stable realized observer are discussed briefly to develop insights for the analyst. The minimum number of repeated experiments for accurate recovery of the system Markovparameters isdetermined from these developments. The time-varying observer gains realized in the process are subsequently shown to be in consistent coordinate systems for observer state propagation. It is also demonstrated that the observer gain sequence realized in the case of the minimum number of experiments corresponds naturally to a time-varying deadbeat observer. Numerical examples demonstrate the utility of the concepts developed in the paper.

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