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This paper deals with optimal recursive filtering for time-variant singular systems. The novelty of this paper is the functional developed to deduce this filter in which least squares and penalty functions approaches are combined in a unified way. The advantage of this new procedure will be emphasized in the paper. The nominal singular Kalman filter will be deduced in its most general formulation...
This paper is concerned with the problem of state estimation for descriptor systems subject to uncertainties. The Kalman type recursive algorithms for robust filtered, predicted and smoothed estimates are derived. A numerical example is included to demonstrate the performance of the proposed robust filter.
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