Latin American applied research
versión impresa ISSN 0327-0793
This paper deals with the optimal solution to the sampled-data minimum variance filtering problem for linear systems with noise in the states and in the measurements. The solution is derived in the time-domain by using a fast sampling zero-order hold input discretization of the continuous time systems together with a lifting technique. The original sampled-data system is transformed into an equivalent LTI discrete-time system with infinite-dimensional input-output space. However, the designed filter is finite-dimensional. We derive both the existence conditions and the explicit expression of the desired filter and provide an illustrative numerical example.
Palabras clave : Filtering; Lifting; T-Periodic Systems; Sampled-Data.