Derivation of the Maximum a Posterori Estimate for Discrete Time Descriptor Systems

Abstract: In this report a derivation of the MAP state estimator objective function for general (possibly non-square) discrete time causal/non-causal descriptor systems is presented. The derivation made use of the Kronecker Canonical Transformation to extract the prior distribution on the descriptor state vector so that Maximum a Posteriori (MAP) point estimation can be used. The analysis indicates that the MAP estimate for index 1 causal descriptor systems does not require any model transformations and can be found recursively. Furthermore, if the descriptor system is of index 2 or higher and the noise free system is causal, then the MAP estimate can also be found recursively without model transformations provided that model causality is accounted for in designing the stochastic model.