State Optimal Estimation Algorithm for Singular Systems with Multiplicative Noise

The paper develops a state optimal estimation algorithm for singular systems with multiplicative noise in the sense of linear minimum-variance.First,the system is transformed into two subsystems through standard decomposition.Then,based on the state estimation of the subsystems,the optimal filtering of the original system is obtained.The algorithm also presented a dynamic noise and noise measurement estimations.Computer simulation shows the effect of the algorithm.