IEEE Transactions on Automatic Control, Vol.45, No.7, 1374-1379, 2000
On the optimal unbiased functional filtering
This paper presents a new and simple solution to the optimal unbiased reduced-order (or functional) filtering problem for linear time-varying systems. Necessary and sufficient conditions for the existence of the obtained filter are given. Stability and convergence conditions are developed for the time-invariant systems. Both continuous- and discrete-time cases are considered.