@misc{SagnolHarman, author = {Sagnol, Guillaume and Harman, Radoslav}, title = {Optimal Designs for Steady-state Kalman filters}, issn = {1438-0064}, url = {http://nbn-resolving.de/urn:nbn:de:0297-zib-52808}, abstract = {We consider a stationary discrete-time linear process that can be observed by a finite number of sensors. The experimental design for the observations consists of an allocation of available resources to these sensors. We formalize the problem of selecting a design that maximizes the information matrix of the steady-state of the Kalman filter, with respect to a standard optimality criterion, such as \$D-\$ or \$A-\$optimality. This problem generalizes the optimal experimental design problem for a linear regression model with a finite design space and uncorrelated errors. Finally, we show that under natural assumptions, a steady-state optimal design can be computed by semidefinite programming.}, language = {en} }