Regular design equations for the discrete reduced-order Kalman filter

In the presence of white Gaussian noises at the input and the output of a system Kalman filters provide a minimum-variance state estimate. When part of the measurements can be regarded as noise-free, the order of the filter is reduced. The filter design can be carried out both in the time domain and in the frequency domain. In the case of full-order filters all measurements are corrupted by noise and therefore the design equations are regular. In the presence of noise-free measurements, however, they are not regular so that standard software cannot readily be applied in a time-domain design. In the frequency domain the spectral factorization of the non-regular polynomial matrix equation causes no problems. However, the known proof of optimality of the factorization result requires a regular measurement covariance matrix. This paper presents regular (reduced-order) design equations for the reduced-order discrete-time Kalman filter in the time and in the frequency domains so that standard software is applicable. They also allow to formulate the conditions for the stability of the filter and to prove the optimality of the existing solutions.