Optimal Filtering and a Smoothing Algorithm for a Singular System With a Complex Stochastic Uncertain Parameter Matrix
Xingkai Yu, Jianxun Li · IEEE Transactions on Circuits & Systems II Express Briefs · 2019
This brief considers estimation algorithms for linear singular systems with random uncertain parameter matrices. We propose an optimal filtering algorithm and an optimal fixed-interval smoothing algorithm to filter out artifacts, such as noise, from the parameter matrix by using the projection theorem and an equivalent transformation. A performance analysis and simulation results verify the proposed algorithms.