Fast Computation of Discrete Optimal FIR Estimates in White Gaussian Noise

作     者：Zhao, Shunyi Shmaliy, Yuriy S. Liu, Fei 

作者机构：Jiangnan Univ Key Lab Adv Proc Control Light Ind Minist Educ Wuxi Peoples R China Univ Guanajuato Dept Elect Engn Salamanca 36885 Mexico 

出 版 物：《IEEE SIGNAL PROCESSING LETTERS》 (IEEE Signal Process Lett)

年 卷 期：2015年第22卷第6期

页      面：718-722页

核心收录：

学科分类：0808[工学-电气工程] 08[工学] 

主　　题：Iterative algorithm optimal FIR filtering state space white Gaussian noise 

摘      要：We propose a fast iterative algorithm for optimal finite impulse response (OFIR) filtering of linear discrete time-invariant state-space models in white Gaussian noise. The OFIR filter is known to have the BIBO stability and better robustness against the Kalman filter (KF). The iterative OFIR algorithm is KF-like;that is, its estimate appears much faster than in the batch OFIR filter. A dramatic reduction of computation time is demonstrated in the full-horizon iterative OFIR algorithm which operates as fast as KF. We also notice a considerable reduction of the computational resources allowed by iterations.