State Estimation for Discrete-Time Linear Systems with Multiplicative and Correlated Additive Noises

摘要：

　　In this paper,the state estimation problem for discrete-time linear systems with multiplicative noises and correlated additive noises is considered where the multiplicative noises are continuous random matrices of proper dimensions and occur both in the state and measurement models.Using two typical equalities of the optimal linear mean-square estimate and some results obtained in this paper,an optimal recursive algorithm is proposed in the sense of linear minimum mean-square error.Computer simulations are carried out to demonstrate the performance of the proposed algorithm.

关键词： State estimation Discrete-time Linear systems Multiplicative noises Correlated additive noises

作者: Wei Liu

作者单位: School of Electrical Engineering and Automation,Henan Polytechnic University,Jiaozuo 454003,P.R.China

会议类型: 国际会议

会议名称: The 33th Chinese Control Conference第33届中国控制会议

会议地点: 南京

会议语种:英文

页码: 7145-7150

在线出版日期: 2014-07-28（万方平台首次上网日期，不代表论文的发表时间）