The method of designing the filter for a class of linear discrete generalized stochastic systems
Yang Zhanmin · 2002
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)+D/spl omega/(k), y(k)=Cx(k)+/spl upsi/(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.