Filtering for linear systems with noise correlation and its application to singular systems
Wu Jian-Rong (吴健荣)a, Song Shi-Ji (宋士吉)b
a Department of Applied Mathematics, University of Science and Technology of Suzhou, Suzhou 215009, China; b Department of Automation, Tsinghua University, Beijing 100084, China
Abstract 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.
Received: 31 January 2004
Revised: 13 May 2004
Accepted manuscript online:
PACS:
05.40.Ca
(Noise)
Fund: Project supported by the State Key Development Programme for Basic Research of China (Grant No 2002CB312205), the Science Foundation of Jiangsu Education Bureau, and the Science Foundation from University of Science and Technology of Suzhou, China.
Cite this article:
Wu Jian-Rong (吴健荣), Song Shi-Ji (宋士吉) Filtering for linear systems with noise correlation and its application to singular systems 2004 Chinese Physics 13 1977
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