Accessibility navigation

Optimal observers for ARMA models

Warwick, K. (1987) Optimal observers for ARMA models. International Journal of Control, 46 (5). pp. 1493-1503. ISSN 0020-7179

Full text not archived in this repository.

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1080/00207178708933989


A polynomial-based ARMA model, when posed in a state-space framework can be regarded in many different ways. In this paper two particular state-space forms of the ARMA model are considered, and although both are canonical in structure they differ in respect of the mode in which disturbances are fed into the state and output equations. For both forms a solution is found to the optimal discrete-time observer problem and algebraic connections between the two optimal observers are shown. The purpose of the paper is to highlight the fact that the optimal observer obtained from the first state-space form, commonly known as the innovations form, is not that employed in an optimal controller, in the minimum-output variance sense, whereas the optimal observer obtained from the second form is. Hence the second form is a much more appropriate state-space description to use for controller design, particularly when employed in self-tuning control schemes.

Item Type:Article
ID Code:17821
Publisher:Taylor & Francis

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation