Implementation Costs and Information Flow in Kalman-Bucy Filters
by
Henrik Sandberg(KTH)
→
Europe/Stockholm
122:026
122:026
Description
In this talk, we discuss fundamental limits for physical implementations of the Kalman-Bucy filter for linear passive systems. (The Kalman-Bucy filter is often used in signal processing and control theory because it optimally estimates the state of an uncertain system, continuously in time.) In particular, we show that the Kalman-Bucy filter itself is a passive system and by invoking the second law of thermodynamics, we can characterize the external power supply needed to operate the filter. We also show how the required external power supply can be decreased by allowing the filter to perturb the measured system to a larger extent. Hence, it is possible to decrease the so-called back action of the filter by spending more energy. By computing the information flow into the filter, we can also relate our result to the so-called Landauer’s principle, and interpret it as a Maxwell's demon.