| 自校正Riccati方程的收敛性 |
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| 引用本文： | 邓自立,冉陈键,孙小君.自校正Riccati方程的收敛性[J].科学技术与工程,2009,9(3). |
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| 作者姓名： | 邓自立 冉陈键 孙小君 |
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| 作者单位： | 黑龙江大学自动化系,哈尔滨,150080 |
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| 摘 要： | 对带未知噪声方差的线性离散定常随机系统,基于噪声方差的在线一致估计,提出了自校正Riccati方程新概念.用动态误差系统分析(DESA)方法和Kalman滤波器稳定性理论证明了自校正Riccati方程的解收敛于稳态Riccati方程的解.这个结果将引出一种新的自校正Kalman滤波算法,并为解决自校正Kalman滤波器收敛性问题提供了重要的理论基础.一个数值仿真例子说明了所提出的结果的正确性.
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| 关 键 词： | 多传感器信息融合 自校正 Kalman滤波器 Riccati方程 收敛性 |
Convergence of Self-tuning Riccati Equation |
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| DENG Zi-li,RAN Chen-jian,SUN Xiao-jun.Convergence of Self-tuning Riccati Equation[J].Science Technology and Engineering,2009,9(3). |
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| Authors: | DENG Zi-li RAN Chen-jian SUN Xiao-jun |
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| Institution: | Department of Automation;Heilongjiang University;Harbin 150080;P. R. China |
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| Abstract: | For the linear discrete time-invariant stochastic system with unknown noise varivances, based on online consistent estimation of noise variances, a new concept of self-tuning Riccati equation is presented. By using the dynamic error system analysis (DESA) methods and the stability theory of the Kalman filter, it is proved that the solution of self-tuning Riccati equation converges to the solution of steady-state Riccati equation. The result will yield a new self-tuning Kalman filtering algorithm, and will p... |
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| Keywords: | multisensor information fusion self-tuning Kalman filter Riccati equation convergence |
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