广义离散随机线性系统最优滤波·预报和平滑估计的统一格式

The Unified Form to the Optimal Filtering·Prediction and Smoothing for Singular Discrete Stochastic Linear System

本文运用新息理论和射影的方法研究广义离散随机线性系统最优状态估计，将状态估计转化为输出预报估计和白噪声估计，提出了广义离散随机线性系统最优滤波、预报、平滑估计的统一格式。

Using the innovation theory and projection method, this paper deals with the optimal state es-timation for the singular discrete stochastic linear system. Converting the state estimation into the output es-timation and noises estimation, the paper presents the unified form to the optimal filtering, prediction and smoothing for the singular discrete stochastic linear system.