EQUIVALENCE OF FINITE MEMORY FILTERS

The well-known Jazwinski's limited memory filter, Schweppe's finite me mory filter, and Kwon's optimal finite impulse response (FIR) filter a re compared in the filter structures, system models, and optimality cr iterions, and are shown to be equivalent on condition that they are ap plied to the discrete system with no process noise and unknown prior i nformation of the system state. The different properties such as stabi lity and computation burden are briefly discussed. Kwon's optimal FIR filter is shown to have some advantages in terms of stability and mode ling constraints.