Minimum-variance reduced-order estimation algorithms from Pontrygin's minimum principle

Abstract

A uniform derivation of minimum-variance reduced-order (MVRO) filter-smoother algorithms from Pontrygin's Minimum Principle is presented. An appropriate performance index for a general class of reduced order estimation problem is formulated herein to yield optimal results over the entire time interval of estimation. These results provide quantitative criteria for measuring the performance of certain classes of heuristically designed, suboptimal reduced-order estimators as well as explicit guidance to the suboptimal filter design process with both continuous and discrete filter-smoother algorithms being considered. By the duality principle, the algorithms of reduced-order estimation can be easily extended to the deterministic problems of optimal control (i.e., the regulator and linear tracking problem).