State estimation for multi-channel stochastic singular systems with multiplicative noise†

The state estimation problem for multi-channel singular systems with multiplicative noise is considered based on singular value decomposition. First, two equivalent reduced order subsystems are obtained via the decomposition. Then, in order to solve the estimation problem, the subsystems are rewritten into a new form. It is noted that the measurement noise here becomes colored noise, which contains the dynamic noise, measurement noise, and multiplicative noise of the original system. In this situation, existing filtering methods cannot be directly applied, so a modified filtering method is given. The recursive algorithm for the state estimation is obtained by the filtering method. In addition, the estimation of dynamic noise is derived via the algorithm. A simulation example is given to show the effectiveness of the proposed algorithm. Copyright © 2010 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society

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