Minimum variance functional filtering for multirate sampled systems

Abstract

In this paper, we propose a new method of minimum-variance functional filtering for a class of sampled-data systems. The proposed method is based on multirate sampling of the plant output. This work includes the formulation of multirate output model for continuous-time system having noise in plant dynamics and measurement and necessary and sufficient conditions are given for existence of functional with minimal number of output samples. Numerical example is given to illustrate the procedure and its merits.