On Fixed-Point Smoothing for Descriptor Systems with Multiplicative Noise and Single Delayed Observations

Abstract EN

Optimal fixed-point smoothing problem for the descriptor systems with multiplicative noises is considered, where instantaneous and delayed observations are available.

Standard singular value decomposition is used to give the restricted equivalent delayed system, where the observations also include two different types of measurements.

Reorganized innovation lemma and projection theorem are used to give the fixed-point smoother for the restricted equivalent delayed system.

The fixed-point smoother is given in terms of recursive Riccati equations.