| 过程噪声和量测噪声多步相关的卡尔曼型滤波 |
| |
| 引用本文： | 符安迪,朱允民.过程噪声和量测噪声多步相关的卡尔曼型滤波[J].四川大学学报(自然科学版),2009,46(5):1237-1240. |
| |
| 作者姓名： | 符安迪 朱允民 |
| |
| 作者单位： | 四川大学数学学院,成都,610064 |
| |
| 摘 要： | 本文详细讨论了在随机离散时间动态系统
中过程噪声~$w_k$~和量测噪声~$v_k$~两步相关情况下的最优状态估计，
给出了两步相关情况下的卡尔曼型滤波.
然后把它推广到过程噪声~$w_k$~和量测噪声~$v_k$~多步相关的情况，
给出了n步相关情况下卡尔曼型滤波的一般表达式.
|
| 关 键 词： | 卡尔曼滤波 过程噪声 量测噪声 两步相关 多步相关 |
| 修稿时间： | 7/2/2008 5:09:14 PM |
The Kalman Type Filter of Multi-Step Correlated Process and Measurement Noises |
| |
| FU An-Di,ZHU Yun-Min.The Kalman Type Filter of Multi-Step Correlated Process and Measurement Noises[J].Journal of Sichuan University (Natural Science Edition),2009,46(5):1237-1240. |
| |
| Authors: | FU An-Di ZHU Yun-Min |
| |
| Institution: | School of Mathematics, Sichuan University;School of Mathematics, Sichuan University |
| |
| Abstract: | This paper discusses first that in the
discrete time random dynamic system, what is the optimal recursive
solution of the state estimation when the process noise and
measurement noise are two-step correlated and we present a Kalman
type filter for this system. Then, we extend it to the more general
case of the process noise and measurement noise being n-step
correlated and present a Kalman type filter in this case. |
| |
| Keywords: | Kalman filter process noise measurement noise multi-step correlated |
| 本文献已被 万方数据 等数据库收录！ |
| 点击此处可从《四川大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《四川大学学报(自然科学版)》下载免费的PDF全文 |
