,Filtering for linear systems with noise correlation and its application to singular systems

来源 :中国物理（英文版） | 被引量 : 0次 | 上传用户：lishuangjie2009

【摘要】

：

In this paper, an optimal filter for a stochastic linear system with previous stage noise correlation is designed.Based on this result, together with the decomp

【作者】

：

Wu Jian-Rong Song Shi-Ji

【机构】

：

Department of Applied Mathematics, University of Science and Technology of Suzhou, Suzhou 215009, Ch

【出处】

：

中国物理（英文版）

【发表日期】

：

2004年12期

【关键词】

：

filter stochastic system singular system noise correlation

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In this paper, an optimal filter for a stochastic linear system with previous stage noise correlation is designed.Based on this result, together with the decomposition techniques of the stochastic singular linear system, the design of an optimal filter for a stochastic singular linear system is given.

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