期刊
IEEE SIGNAL PROCESSING LETTERS
卷 22, 期 6, 页码 718-722出版社
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/LSP.2014.2368777
关键词
Iterative algorithm; optimal FIR filtering; state space; white Gaussian noise
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.
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