On the Optimality of the Kitanidis Filter for State Estimation Rejecting Unknown Inputs
Résumé
As a natural extension of the Kalman filter to systems subject to arbitrary unknown inputs, the Kitanidis filter has been designed by one-step minimization of the trace of the state estimation error covariance matrix. In this technical communiqué, it is shown that the Kitanidis filter is also optimal for the whole gain sequence in the sense of matrix positive definiteness, which notably implies that the Kitanidis filter minimizes not only the trace criterion, but also the matrix spectral norm criterion.
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