Connections between H2 optimal filters and unknown input observers – Performance limitations of H2 optimal filtering

This paper establishes a connection between the unknown input observer problem (also known as the exact input-decoupling filtering problem) and the Kalman filtering problem. Such a connection leads to a better understanding of filtering. As a consequence of this, tools for the analysis as well as synthesis of filters can be developed. Moreover, such tools can be utilized to establish performance limitations of Kalman filtering as related to the structural properties of the given system.