A DETERMINISTIC APPROACH FOR OPTIMAL RECURSIVE PREDICTION OF SINGULAR DISCRETE-TIME SYSTEMS

摘要

This paper proposes a new representation for the predictor estimates recursion and corresponding Riccati equation for discrete-time, time-variant descriptor systems. The introduced “9-block” form for the predictor and Riccati equation presents an interesting simple and symmetric structure, which enable us to treat directly the most general systems where state and measurement noises are correlated.