State Estimation of stochastic singular linear systems
نویسندگان
چکیده
In this paper we present a simple algorithm for the state estimation of stochastic singular linear systems based on the least squares me thod .
منابع مشابه
Change Point Estimation of the Stationary State in Auto Regressive Moving Average Models, Using Maximum Likelihood Estimation and Singular Value Decomposition-based Filtering
In this paper, for the first time, the subject of change point estimation has been utilized in the stationary state of auto regressive moving average (ARMA) (1, 1). In the monitoring phase, in case the features of the question pursue a time series, i.e., ARMA(1,1), on the basis of the maximum likelihood technique, an approach will be developed for the estimation of the stationary state’s change...
متن کاملAdmissibility analysis for discrete-time singular systems with time-varying delays by adopting the state-space Takagi-Sugeno fuzzy model
This paper is pertained with the problem of admissibility analysis of uncertain discrete-time nonlinear singular systems by adopting the state-space Takagi-Sugeno fuzzy model with time-delays and norm-bounded parameter uncertainties. Lyapunov Krasovskii functionals are constructed to obtain delay-dependent stability condition in terms of linear matrix inequalities, which is dependent on the low...
متن کاملRobust H_∞ Controller design based on Generalized Dynamic Observer for Uncertain Singular system with Disturbance
This paper presents a robust ∞_H controller design, based on a generalized dynamic observer for uncertain singular systems in the presence of disturbance. The controller guarantees that the closed loop system be admissible. The main advantage of this method is that the uncertainty can be found in the system, the input and the output matrices. Also the generalized dynamic observer is used to est...
متن کاملState Estimate Schemes for Descriptor Systems with Multi-time Delayed Measurements
This paper deals with discrete-time stochastic descriptor (singular) systems with instantaneous and multi-time delayed measurements. The estimability condition of the descriptor systems involving delayed measurements is given. Using the measurements reorganization approach, the optimal Kalman lter and corresponding estimate error covariance are derived. Furthermore, an algorithm for the linear...
متن کاملKalman-bucy Filtering for Singular Stochastic Differential Systems
This work investigates the problem of state estimation for singular stochastic di®erential systems. A Kalman-Bucy-like ̄lter is proposed, based on a suitable decomposition of the descriptor vector into two components. The ̄rst one is expressed as a function of the observation, and therefore does not need to be estimated, while the second component is described by a regular linear stochastic sys...
متن کامل