Optimal filtering and smoothing for discrete-time stochastic singular systems

被引:60
|
作者
Sun, Shu-Li [1 ]
Ma, Jing [1 ]
机构
[1] Heilongjiang Univ, Dept Automat, Harbin 150080, Peoples R China
基金
中国国家自然科学基金;
关键词
full-order estimators; projection theory; correlated noise; prediction; filtering; smoothing; stochastic singular system;
D O I
10.1016/j.sigpro.2006.05.007
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
A stochastic singular system with correlated noises at the same time is transferred to the equivalent nonsingular system with correlated noises at the same and neighboring time. Applying time-domain innovation analysis method, the recursive full-order predictor, filter and smoother are presented for this nonsingular system. Further, the full-order filter and smoother are given for original stochastic singular linear systems with correlated noises. Recursive and nonrecursive computational formulas for estimation error covariance matrices are given. Furthermore, the steady-state filter and smoother are also investigated. The asymptotic stability is proved. All results generalize the standard Kalman filtering. A simulation example shows the effectiveness. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码:189 / 201
页数:13
相关论文
共 50 条
  • [1] Optimal recursive filtering, prediction, and smoothing for singular stochastic discrete-time systems
    Zhang, HS
    Xie, LH
    Soh, YC
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1999, 44 (11) : 2154 - 2158
  • [2] FILTERING AND LQG PROBLEMS FOR DISCRETE-TIME STOCHASTIC SINGULAR SYSTEMS
    DAI, L
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1989, 34 (10) : 1105 - 1108
  • [3] Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems
    Zhang, HS
    Xie, LH
    Soh, YC
    [J]. AUTOMATICA, 2003, 39 (01) : 57 - 66
  • [4] Robust Finite-time Filtering for Singular Discrete-time Stochastic Systems
    Zhang, Aiqing
    Campbell, Stephen L.
    [J]. 2015 27TH CHINESE CONTROL AND DECISION CONFERENCE (CCDC), 2015, : 913 - 918
  • [5] Singular linear quadratic optimal control for singular stochastic discrete-time systems
    Feng, Jun-e
    Cui, Peng
    Hou, Zhongsheng
    [J]. OPTIMAL CONTROL APPLICATIONS & METHODS, 2013, 34 (05): : 505 - 516
  • [6] Optimal control for discrete-time singular stochastic systems with input delay
    Wang, Fan
    Liang, Jinling
    Wang, Feng
    [J]. OPTIMAL CONTROL APPLICATIONS & METHODS, 2016, 37 (06): : 1282 - 1313
  • [7] Optimal recursive state estimation for singular stochastic discrete-time systems
    Zhang, HS
    Xie, LH
    Soh, YC
    [J]. PROCEEDINGS OF THE 37TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4, 1998, : 2908 - 2913
  • [8] Distributed fusion steady-state smoothing for discrete-time stochastic singular systems
    Sun Shuli
    [J]. PROCEEDINGS OF THE 24TH CHINESE CONTROL CONFERENCE, VOLS 1 AND 2, 2005, : 318 - 324
  • [9] SUBOPTIMAL FILTERING FOR A SINGULAR DISCRETE-TIME STOCHASTIC LINEAR SYSTEM
    王恩平
    [J]. Science Bulletin, 1990, (03) : 256 - 260
  • [10] Dissipative control and filtering of discrete-time singular systems
    Feng, Zhiguang
    Lam, James
    [J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2016, 47 (11) : 2532 - 2542