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Optimal Filtering Algorithms for a Kind of Stochastic Systems with Multiplicative Noise

XU De-gang~1,ZHAO Ming-wang~2(1.National Laboratory of Industrial Control Technology,Zhejiang University,Hangzhou 310027,China;2.College of Information Science and Engineering,WUST,Wuhan 430081,China)  
Dynamical system with stochastic multiplicative noise factor is a special kind of Stochastic Systems.But there are few papers describing modeling-building,optimal filtering algorithms for this kind of systems.This paper focus on these problems of discrete-time multiplicative stochastic systems;and optimal filtering algorithms of these systems are given based on the ideas of Kalman filtering algorithm.The result is easy to be implemented.
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