摘要
运用新息理论和射影的方法［１］，提出了广义离散随机线性系统最优递推滤波、预报和平滑估计算法，在一定条件下证明了最优递推估计的渐近稳定性．所得的结果可用于正常离散随机线性系统．
Using the innovation theory and projection method, this paper presents the optimal recursive filtering, prediction and smoothing estimation algorithm for the singular discrete stochastic systems, and proves the asymptotic stability of the estimate algorithm under certain condition. The result of this paper can be applied to the.nonsingular system.
出处
《控制与决策》
EI
CSCD
北大核心
1996年第5期538-544,550,共8页
Control and Decision
关键词
离散系统
随机线性系统
广义
最优递推估计
singular discrete stochastic linear system
linear minimum variance estimation
gain matrix
optimal recursive filtering
prediction and smoothing
