Fixed-Interval Kalman Smoother for Non-Square Descriptor Systems with Correlated Noise

Hang Wei Tian; Ying Shi

doi:10.4028/www.scientific.net/AMR.433-440.3601

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 433-440Fixed-Interval Kalman Smoother for Non-Square...

Fixed-Interval Kalman Smoother for Non-Square Descriptor Systems with Correlated Noise

Abstract:

Based on the classical Kalman filtering theory, the state estimation problem is considered for non-square descriptor discrete time stochastic systems. Under Assumptions 1~3, a fixed-Interval Kalman smoother for non-square descriptor systems with correlated noise is given. Some numerical examples illustrate the effectiveness of the proposed algorithm.

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Periodical:

Advanced Materials Research (Volumes 433-440)

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3601-3607

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.433-440.3601

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Online since:

January 2012

Authors:

Hang Wei Tian, Ying Shi

Keywords:

Fixed-Interval, Kalman Smoother, Non-Reduced Order, Non-Square Descriptor Systems

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