Optimal recursiveness for generalized discrete stochastic linear systems
Chen Hui-chan · Journal of Xidian University · 2006
The optimal recursive equation for the generalized discrete linear system is discussed.A singular values standard form for generalized discrete stochastic linear systems is given by singular value decomposition of a matrix.In two cases,the generalized discrete stochastic linear system is decomposed into two subsystems based on the standard form.The optimal recursive equations for this system are obtained by state estimation of subsystems.