Fault estimation of linear discrete time-varying systems with multiplicative noise based on finite impulse response filter

This paper aims to construct a finite impulse response (FIR) based fault estimator for a class of linear discrete time-varying systems (LDTV) with multiplicative noise. Drawing support of intensive stochastic analyses and matrix manipulations, a novel performance index is proposed such that the fault estimation error is minimized in stochastic sense. A necessary and sufficient condition is established to guarantee the existence of the FIR-based fault estimator with satisfied estimation accuracy. The optimal gain of the desired fault estimator is calculated in an analytical way by minimizing the aforementioned performance index. Several examples are presented to demonstrate the effectiveness and superiority of the proposed methods.

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