| 过程噪声和量测噪声多步相关的卡尔曼型滤波 |
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| 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. DOI: 103969/j.issn.0490-6756.2009.05.05 |
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| 作者姓名： | 符安迪 朱允民 |
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| 作者单位： | 四川大学数学学院,成都,610064;四川大学数学学院,成都,610064 |
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| 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.
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| 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： | 2008-07-02 |
The Kalman Type Filter of Multi-Step Correlated Process and Measurement Noises |
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| 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. DOI: 103969/j.issn.0490-6756.2009.05.05 |
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| Authors: | FU An-Di ZHU Yun-Min |
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| Affiliation: | School of Mathematics, Sichuan University;School of Mathematics, Sichuan University |
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| Abstract: | This paper discusses first that in thediscrete time random dynamic system, what is the optimal recursivesolution of the state estimation when the process noise andmeasurement noise are two-step correlated and we present a Kalmantype filter for this system. Then, we extend it to the more generalcase of the process noise and measurement noise being n-stepcorrelated and present a Kalman type filter in this case. |
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| Keywords: | Kalman filter, process noise measurement noise multi-step correlated |
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