A deterministic approach for optimal recursive prediction of singular discrete-time systems
| Authors: | Ishihara João, University of Brasília, Brazil
Bianco Aline, University of São Paulo at São Carlos, Brazil
Terra Marco, University of São Paulo at São Carlos, Brazil |
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| Topic: | 1.1 Modelling, Identification & Signal Processing |
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| Session: | State Estimation, Tracking and Sensor Fusion |
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| Keywords: | Kalman filtering, predicted estimate, descriptor systems, discrete-time, singular systems, stateestimation, Riccati equation |
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Abstract
This paper proposes a new representation for the predictor estimates recursion andcorresponding Riccati equation for discrete-time,time-variant descriptor systems. The introduced "9-block" form for the predictor and Riccati equationpresents an interesting simple and symmetric structure, which enable us to treat directly the most general systems where state and measurement noises are correlated.
