| 基于稳态Riccati方程迭代解的ARMA新息模型的构造 |
| |
| 引用本文： | 邓自立,孙书利,等.基于稳态Riccati方程迭代解的ARMA新息模型的构造[J].科学技术与工程,2002,2(6):12-13. |
| |
| 作者姓名： | 邓自立 孙书利 |
| |
| 作者单位： | 黑龙江大学自动化系,哈尔滨,150080 |
| |
| 基金项目： | 黑龙江省自然科学基金(F01-15)，国家自然科学基金(69774019)资助 |
| |
| 摘 要： | ARMA 新息模型在最优滤波理论中起重要作用。对于带相关噪声系统导出了等价于稳态 Kalman 预报器的 ARMA 新息模型,并提出了基于稳态 Riccati 方程迭代解构造 ARMA 新息模型的新方法。一个仿真例子说明了新方法的有效性。
|
| 关 键 词： | 带相关噪声系统 ARMA 新息模型 Riccati 方程迭代解 |
| 修稿时间： | 2002年6月19日 |
Construction o ARMA Innovation Models Based on Iterated Solution of Steady-State Riccati Equations |
| |
| DENG Zili SUN Shuli XU Yan SHI Ying.Construction o ARMA Innovation Models Based on Iterated Solution of Steady-State Riccati Equations[J].Science Technology and Engineering,2002,2(6):12-13. |
| |
| Authors: | DENG Zili SUN Shuli XU Yan SHI Ying |
| |
| Abstract: | The ARMA innovation models play an important role in the optimal filtering.The ARMA innovation model which is equivalent to the steady-state Kalman predictor is derived for systems with correlated noises,and a new approach of constructing the ARMA innovation models is presented based on the iterated solution of steady- state Riccati equations.A simulation example shows its effectiveness. |
| |
| Keywords: | systems with correlated noises ARMA innovation model iterated solution of Riccati equation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《科学技术与工程》浏览原始摘要信息 |
| 点击此处可从《科学技术与工程》下载免费的PDF全文 |
