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Receding Horizon FIR Filter and Its Square-Root Algorithm

Pyung Soo Kim/Wook Hyun Kwon
Transaction on Control Automation, and Systems Engineering, vol. 2, no. 2, pp.110-115, 2000

Abstract : A receding horizon FIR filter is suggested for discrete time-varying systems, combining the Kalman filter with the receding horizon strategy. The suggested filter is shown to be an FIR structure that has many good inherent properties. The suggested filter is represented in an iterative form and also in a standard FIR form. The suggested filter turns out to be a remarkable deadbeat observer that is often robust against system and measurement noises. It is also shown that the suggested filter is an unbiased estimator irrespective of any horizon initial condition. For the amenability to parallel and systolic implementation as well as the numerical stability, a square-root algorithm for the suggested filter is presented. To evaluate performance, the suggested filter is applied to a problem of unknown input estimation and compared with the existing Kalman filter based approach.

Keyword : kalman filter, receding horizon strategy, FIR filter, deadbeat property, square-root algorithm

 
 
 
 
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