Unbiased minimum-variance disturbance and state estimation for linear systems with both state and output disturbances

This paper addresses the problem of simultaneously estimating the states, the state disturbances and the output disturbances of a linear time variant system. The objective is to develop a simple but optimal filter in the unbiased minimum-variance sense without depending extra complex system decomposition transformation. The derived filter bases on the assumption that no prior knowledge about the dynamical evolution of these disturbances is available.