Low-order extrapolator for estimation of linear functionals of state vector

The author proposed an approach to synthesis of low-order one-stage extrapolator for estimation of linear functionals of states of linear discrete stochastic systems. The peculiarity of the method is the decreasing of order of equation for estimate and the decreasing of order of matrix Riccati equation for extrapolator parameters and estimation error covariances. The properties of proposed extrapolation algorithm are investigated. It is established that application of the extrapolator is efficient in the cases when it is necessary to estimate some part of system states and observation processing is carried out with delay. Numerical calculations confirm the efficiency of proposed extrapolation algorithm.