An Optimal Filter for Singular Systems With Stochastic Multiplicative Disturbance

This brief proposes an optimal filtering algorithm for linear singular systems with stochastic multiplicative noise by using the second restricted equivalent transformation (SRET) to reduce computation load, avoid curse of dimensionality and improve precision. The presented filter can be guarantee optimum in the sense of linear minimum mean-square error (LMMSE) by employing the projection theorem. A performance analysis and simulation results verify the proposed algorithm.