Optimal filter design for closed- loop system with stochastic packet dropout measurements

This paper deals with optimal filter design problem of a class of closed-loop linear discrete-time system with stochastic measurement packet dropouts, which is divide-and-conquered, whose feedback is state filtering value constructed by the received measurements. In least variance estimate sense, the parameter matrix of the filter to be determined is derived by utilizing orthogonality principle. At last, a numerical example is given, the obtained mean filtering square error is fluctuate around its theoretical value, this illustrate the efficiency of the proposed method.