广义离散随机线性系统的最优递推问题

Optimal recursiveness for generalized discrete stochastic linear systems

讨论了广义离散随机线性系统的最优递推问题,利用矩阵的奇异值分解理论,给出了广义离散随机线性系统的奇异值标准形式,基于标准形式,在两种情况下,将系统分解成两个子系统,通过对子系统状态估计的研究,得到了该系统的最优递推方程.

The optimal recursive equation for the generalized discrete linear system is discussed. A singular values standard form for generalized discrete stochastic linear systems is given by singular value decomposition of a matrix. In two cases, the generalized discrete stochastic linear system is decomposed into two subsystems based on the standard form. The optimal recursive equations for this system are obtained by state estimation of subsystems.