Kalman-bucy Filtering for Singular Stochastic Differential Systems
نویسندگان
چکیده
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 system and can be estimated by a Kalman-Bucy ̄lter. Numerical simulations are presented on the case of a stochastic system with an unknown input, modeled as a singular system. Copyright c ° 2002 IFAC
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