基于约当分解的带乘性噪声广义系统状态最优滤波算法

Optimal Filtering for Stochastic Singular Systems with Multiplicative Noise Based on Jordan Decomposition

运用矩阵约当分解,将一类带乘性噪声广义离散随机线性系统转化为带乘性噪声正常系统,并给出其在线性最小方差意义下的状态最优滤波算法。仿真结果验证该算法的有效性。

Using Matric Jordan decomposition,stochastic discrete linear singular systems with multiplic-ative noise are transformed into normal systems.A filtering algorithm for these systems is proposed and it is optimal in the sense of linear minimum-variance.Computer simulations show its effectiveness.