An Optimal Filter for Singular Systems With Stochastic Multiplicative Disturbance

被引：13
|
作者：
Yu, Xingkai [1 ,2 ]
Pu, Shi [2 ]
Li, Jianxun [2 ]
机构：
[1] Tsinghua Univ, Dept Precis Instrument, Beijing 100084, Peoples R China
[2] Shanghai Jiao Tong Univ, Sch Elect Informat & Elect Engn, Dept Automat, Shanghai 200240, Peoples R China
来源：
IEEE TRANSACTIONS ON CIRCUITS AND SYSTEMS II-EXPRESS BRIEFS | 2020年 / 67卷 / 12期
关键词：
Circuits and systems; Stochastic processes; Signal processing algorithms; Mathematical model; Matrix decomposition; Filtering algorithms; Performance analysis; Filtering; stochastic multiplicative disturbance; singular system; the second-restricted-equivalent transformation; OPTIMAL STATE ESTIMATION; PREDICTION; OBSERVERS; DESIGN;
D O I：
10.1109/TCSII.2020.3001596
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
This brief proposes an optimal filtering algorithm for linear singular systems with stochastic multiplicative noise by using the second restricted equivalent transformation (SRET) to reduce computation load, avoid curse of dimensionality and improve precision. The presented filter can be guarantee optimum in the sense of linear minimum mean-square error (LMMSE) by employing the projection theorem. A performance analysis and simulation results verify the proposed algorithm.
引用
收藏
页码：3607 / 3611
页数：5
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