Title :
The method of designing the filter for a class of linear discrete generalized stochastic systems
Author_Institution :
Inst. of Syst. Sci. & Appl. Math., Northwest Inst. of Light Ind., Shaanxi, China
Abstract :
In this paper, using the singular value decomposition of matrix and generalized inverse of matrix, the filter for linear discrete generalized stochastic system - Ex(k+1)=Ax(k)+Bu(k)+Dω(k), y(k)=Cx(k)+υ(k)(E and A is not a square matrix), has been studied. Based on this, a new method of designing the Kalman filter for this system is given
Keywords :
Kalman filters; discrete time systems; filtering theory; linear systems; singular value decomposition; stochastic systems; Kalman filter; discrete time systems; linear systems; matrix algebra; singular value decomposition; stochastic systems; Design methodology; Mathematics; Matrix decomposition; Nonlinear filters; Stochastic systems;
Conference_Titel :
Intelligent Control and Automation, 2000. Proceedings of the 3rd World Congress on
Conference_Location :
Hefei
Print_ISBN :
0-7803-5995-X
DOI :
10.1109/WCICA.2000.862604
