广义离散随机非线性系统的递推算法

讨论了广义离散随机非线性系统的最优递推问题，利用矩阵的奇异值分解理论，给出了广义离散随机非线性系统的奇异值标准形式，基于标准形式，在两种情况下，将系统分解成两个子系统，通过对子系统状态估计的研究，得到了该系统的最优递推算法．结果表明，对于广义随机系统，该方法便于应用并且减少了计算量．

Optimal recursive algorithm for generalized discrete stochastic non-linear systems

The optimal recursive equation for the generalized discrete stochastic non-linear system is discussed. A singular values standard form for generalized discrete stochastic non-linear systems is given by singular value decomposition of a matrix. Under the two cases, the generalized discrete stochastic non-linear system is decomposed into two subsystems based on the standard form. The optimal recursive algorithm for this system is obtained by state estimation of subsystems. The result shows that this technique efficiently reduces the amount of computation for the generalized singular system.