ARMS Optimal Recursive State Estimators for Descriptor Systems
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摘要: 应用现代时间序列分析方法,基于ARMA新息模型和白噪声估值器,由非递推状 态估值器的递推变形,提出了广义系统的ARMA稳态最优递推状态估值器.它们具有 Wiener滤波器形式,可处理带奇异状态转移阵和/或带相关噪声的广义系统,可统一处理滤 波、平滑和预报问题,且可统一处理广义和非广义系统状态估计问题.仿真例子说明了其有效 性.
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关键词:
- 广义系统 /
- 广义ARMA状态估值器,广义Wiener状态滤波器 /
- 现代时间序列分析方法
Abstract: Using the modern time series analysis method, based on ARMA innovation model and white noise estimators, and by recursive version of non-recursive state estimators, the ARMA steady state optimal recursive state estimators are presented for descriptor systems which have a Wiener filter form. They can handle the descriptor systems with singular state transition matrices and/or with correlated noises, can handle the filtering, smoothing and prediction problems in a unified form ,and can handle the state estimation problems of descriptor and non-descriptor systems in a unified framework. A simulation example shows their effectiveness.
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