State Estimation for Stochastic FMII Model

摘要

The present paper is concerned with state estimation of stochastic FMII model. First,stochastic FMII model is established by extending system matrices of the well-known Fornasini-Marchesini's second model into stochastic matrices. The elements of these stochastic matrices are second-order, weakly stationary white noise sequences.Second, linear unbiased full-order state estimation problem for stochastic FMII model is formulated. Our results can be seen asextensions of the deterministic case. Finally, an illustrative example is provided.