Abstract: This paper proposes a new algorithm to estimate the optimal steady-state Kalman filter gain of a linear, discrete-time, time-invariant stochastic system from nonoptimal Kalman filter residuals. ...

Abstract: This paper presents an algorithm for identifying state-space models of linear systems from frequency response data. A matrix-fraction description of the transfer function is employed to curve-fit ...

Abstract: A method based on projection filters is presented for identifying an open-loop stochastic system with an existing feedback controller. The projection filters are derived from the relationship ...