| 基于贝叶斯估计噪声相关下的CKF设计 |
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| 引用本文： | 钱华明,葛磊,黄蔚,刘璇.基于贝叶斯估计噪声相关下的CKF设计[J].系统工程与电子技术,2012,34(11):2214-2218. |
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| 作者姓名： | 钱华明 葛磊 黄蔚 刘璇 |
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| 作者单位： | 1.哈尔滨工程大学自动化学院， 黑龙江 哈尔滨 150001;
2.黑龙江科技学院电气与信息工程学院， 黑龙江 哈尔滨 150029 |
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| 基金项目： | 国家自然科学基金(61104036)资助课题 |
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| 摘 要： | 针对常规容积卡尔曼滤波(cubature Kalman filter, CKF)要求系统噪声和量测噪声必须互不相关的局限性，提出了一种带相关噪声的非线性离散系统CKF设计方法。基于贝叶斯估计准则，给出了系统噪声和量测噪声相关时CKF滤波递推公式，并采用三阶球面-相径容积规则来近似计算系统状态的后验均值和协方差。当系统噪声和量测噪声相关时，常规CKF不适用，本文设计的噪声相关下的CKF可以有效地对状态进行估计，拓展了CKF的应用范围。数值仿真验证了算法的有效性。
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| 关 键 词： | 非线性高斯系统 噪声相关的容积卡尔曼滤波 贝叶斯估计 三阶球面-相径容积规则 |
Design of CKF with correlative noises based on Bayesian estimation |
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| QIAN Hua-ming
,
GE Lei
,
HUANG Wei
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LIU Xuan.Design of CKF with correlative noises based on Bayesian estimation[J].System Engineering and Electronics,2012,34(11):2214-2218. |
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| Authors: | QIAN Hua-ming GE Lei HUANG Wei LIU Xuan |
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| Institution: | 1. College of Automation, Harbin Engineering University, Harbin 150001, China；2. College of Electrical and Information Engineering, Heilongjiang Institute of Science and Technology, Harbin 150029, China |
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| Abstract: | According to the limitation that the conventional cubature Kalman filter (CKF) requires system and measurement noise to be uncorrelated, a novel CKF with correlative noises for nonlinear discrete time Gaussian systems is designed. A set of recursive filtering equations of CKF with correlative noises are derived based on Bayesian estimation rule, and the third-order spherical-radial cubature rule is utilized to approximate the postrior mean and covariance of the state. The proposed method can estimate the state as a conventional CKF is unavailable when the system and measurement noise are correlative Gaussian white noises, which expends the application of CKF. The effectiveness of the proposed method is verified by a numerical simulation example. |
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