Optimal recursive for singular continuous stochastic linear systems

The optimal recursive equation for singular continuous linear system is discussed.A singular values standard form for singular continuous stochastic linear systems is given by singular value decomposition of matrix.Under the two cases,the singular continuous stochastic linear system is decomposed into two subsystems based on standard form.The optimal recursive problems for this singular system are obtained by state estimation of subsystems.The result shows that this technique efficiently reduces the amount of computation for singular system.