| 基于约当分解的带乘性噪声广义系统状态最优滤波算法 |
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| 引用本文： | 褚东升,郭丽娜,高守婉.基于约当分解的带乘性噪声广义系统状态最优滤波算法[J].中国海洋大学学报(自然科学版),2010,40(4). |
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| 作者姓名： | 褚东升 郭丽娜 高守婉 |
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| 作者单位： | 中国海洋大学工程学院,山东,青岛,266100 |
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| 基金项目： | 国家自然科学基金数学天元基金 |
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| 摘 要： | 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。
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| 关 键 词： | 约当分解 乘性噪声 广义系统 最优滤波 |
Optimal Filtering for Stochastic Singular Systems with Multiplicative Noise Based on Jordan Decomposition |
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| CHU Dong-Sheng,GUO Li-Na,GAO Shou-Wan.Optimal Filtering for Stochastic Singular Systems with Multiplicative Noise Based on Jordan Decomposition[J].Periodical of Ocean University of China,2010,40(4). |
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| Authors: | CHU Dong-Sheng GUO Li-Na GAO Shou-Wan |
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| Institution: | CHU+Dong-Sheng,GUO+Li-Na,GAO+Shou-Wan(College+of+Engineering,Ocean+University+of+China,Qingdao+266100,China) |
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| Abstract: | 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. |
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| Keywords: | Jordan decomposition multiplicative noise singular systems optimal filtering |
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