Kalman filtering problem for singular systems is dealt with, where the measurements consist of instantaneous measurements and delayed ones, and the plant includes multiplicative noise. By utilizing standard singular v...Kalman filtering problem for singular systems is dealt with, where the measurements consist of instantaneous measurements and delayed ones, and the plant includes multiplicative noise. By utilizing standard singular value decomposition, the restricted equivalent delayed system is presented, and the Kalman filters for the restricted equivalent system are given by using the well-known re-organization of innovation analysis lemma. The optimal Kalman filter for the original system is given based on the above Kalman filter by recursive Riccati equations, and a numerical example is presented to show the validity and efficiency of the proposed approach, where the comparison between the filter and predictor is also given.展开更多
基金supported by National Natural Science Foundation of China(61273197,61503224)Applied Fundamental Research of Qingdao(14-2-4-19-jch)+2 种基金Huangdao District Science and Technology Project(2014-1-33)China Postdoctoral Science Foundation(2015M582115)"Taishan Scholarship"Construction Engineering
文摘Kalman filtering problem for singular systems is dealt with, where the measurements consist of instantaneous measurements and delayed ones, and the plant includes multiplicative noise. By utilizing standard singular value decomposition, the restricted equivalent delayed system is presented, and the Kalman filters for the restricted equivalent system are given by using the well-known re-organization of innovation analysis lemma. The optimal Kalman filter for the original system is given based on the above Kalman filter by recursive Riccati equations, and a numerical example is presented to show the validity and efficiency of the proposed approach, where the comparison between the filter and predictor is also given.
