Optimal reduced-order estimator design for discrete, time-varying systems

Abstract

An approach to design an optimal reduced-order estimator (ROE) directly from a full-order system is proposed. The cost functional used is quadratic with positive definite weighting. The approach is based on the minimization of the associated Hamiltonian to obtain optimal ROE parameters. Examination of the Hessian matrix reveals extra conditions for ROE parameters to be optimal.<>