« Optimal and Unbiased FIR Filtering »

Nous avons le plaisir d’accueillir pendant le mois d’août, le Pr. Yuriy Shmaliy, de l’Université de Guanajuato au Mexique en tant que professeur invité.

Le jeudi 27 Août 2015 à 14h, en salle C06, il présentera un séminaire sur le thème de la théorie de l’estimation: « Optimal and Unbiased FIR Filtering » (cf. les informations ci-dessous).

TITRE : Optimal and Unbiased FIR Filtering
QUAND : Jeudi 27 Août 2015, 14h
OU : Salle C06
QUI : Yuriy SHMALIY, professeur à l’université de Guanajuato, Mexique


A general linear optimal finite impulse response (OFIR) estimator is considered for filtering, q-lag smoothing, and p-step prediction of discrete time-varying state-space models. An optimal solution is found in the batch form with the mean square initial state function self-determined by solving the discrete algebraic Riccati equation. An unbiased FIR (UFIR) solution is given in the batch and fast iterative form to be independent on noise and initial conditions. The mean square errors in both the OFIR and UFIR estimates is discussed along with the noise power gain and estimate error bound. Based on a number of examples, it is shown that the OFIR and UFIR filters are more robust than the Kalman filter, have better immunity against errors in the noise covariances, and lower round-off errors.

Références :

Shunyi Zhao, Fei Liu and Y. Shmaliy, « Optimal FIR Estimator for Discrete Time-variant State-Space Model, » 11th International Conference on Electrical Engineering, Computing Science and Automatic Control, 2014.

Y. Shmaliy, « An iterative Kalman-like algorithm ignoring noise and initial conditions, » IEEE Transactions on Signal Processing, vol. 59, no. 6, June 2011.

Biographie :

Yuriy S. Shmaliy (M’96–SM’00–F’11) received the B.S., M.S., and Ph.D. degrees in 1974, 1976,

and 1982, respectively, from the Kharkiv Aviation Institute, Ukraine, all in electrical engineering. He has served as Full Professor since 1986. In 1992, he received the Dc.Sc. degree from the USSR Government. From 1985 to 1999, he was with the Kharkiv Military University. In 1992, he founded the Scientific Center “Sichron” where he had been a director by 2002. He has been with the Universidad de Guanajuato of Mexico since 1999 as Professor and since 2012 by 2015 as Head of Electronics Engineering Department. He is now with City University London as a visiting professor.