广义系统的状态估计方法

讨论了广义离散随机线系统的状态估计问题，在基本假设条件下，得到了系统状态的最优递推估计算法，算法同时给出了系统动态噪声的估计。

State Estimation Schemes for Generalized State Space Systems

State estimation problem of generalized statertpace systems is receiving more and more interest in recent years and some significant results have been obtained. However.there are some shortcomings in now available methods such as rather high order of the filter cannot be avoided 4] or that a highly restrictive condition is imposed3,5].In this paper,the authors present an optimal filtering algorithm for generalized discrete-time linar systems under the fundamental assumptions. The algorihm has the following characteristics:the order of the filter is reduced through standard decomposition; the highly restrictive condition in Refs.3,5]is eliminated; optimal estimation of dynamic noises is also obtained by the algorithm; optimal filtering scheme for normal systems whose dynamic noises and observation noises are correlated on a finite time interval is given in Theorem 1. which is a new-significant result in state estimation problems.