关键词: 线性离散奇异系统, Kalman滤波, 耦合Riccati方程

Abstract: State estimation of singular discrete-time linear systems is discussed. The filtering problem of the singular systems can be transformed into that of standard systems with advance delay noise. Based on the innovation analysis for equivalent system and the projection formula, its filter predictor is presented by solving two coupled Riccatitype difference equations. Finally, the filter and fixedlag smoother are obtained, which are of the same dimension with the formal singular systems.

Key words: singular discrete-time linear system, Kalman filtering, coupled Riccati equations