中国物理B ›› 2004, Vol. 13 ›› Issue (12): 1977-1981.doi: 10.1088/1009-1963/13/12/001

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

吴健荣1, 宋士吉2   

  1. (1)Department of Applied Mathematics, University of Science and Technology of Suzhou, Suzhou 215009, China; (2)Department of Automation, Tsinghua University, Beijing 100084, China
  • 收稿日期:2004-01-31 修回日期:2004-05-13 出版日期:2004-12-17 发布日期:2005-03-17
  • 基金资助:
    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.

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   

  1. a Department of Applied Mathematics, University of Science and Technology of Suzhou, Suzhou 215009, China; b Department of Automation, Tsinghua University, Beijing 100084, China
  • Received:2004-01-31 Revised:2004-05-13 Online:2004-12-17 Published:2005-03-17
  • Supported by:
    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.

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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 decomposition techniques of the stochastic singular linear system, the design of an optimal filter for a stochastic singular linear system is given.

关键词: Nielsen equation, form invariance, nonNoether conserved quantity

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.

Key words: filter, stochastic system, singular system, noise correlation

中图分类号:  (Noise)

  • 05.40.Ca