Generalized System Price Wiener State Estimators And Kalman State Estimator,

Using modem time series analysis method, based on the ARMA innovation model and white noise estimation theory under the four canonical forms of descriptor systems, the four reduced-order descriptor Wiener state estimators and the the four reduced-order pole assignment descriptor Kalman state estimators are presented respectively. They can handle the prediction, filtering and smoothing problems in a unified frame work, and have a symptotic stability. Compared with non-reduced-order methods, the computational burden is obviously reduced. Compared with the polynomial approach and classical kalman methoed; the solution of Ricatti equation and Diophantine equation is avoid. Many simulation examples show usefulness of the proposed algorithms.