| 基于稳态Riccati方程迭代解的ARMA新息模型的构造 |
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| 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 |
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| 作者姓名： | 邓自立 孙书利 等 |
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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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| 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 |
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| 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。
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| 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： | 2002-06-19 |
Construction o ARMA Innovation Models Based on Iterated Solution of Steady-State Riccati Equations |
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| 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 |
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| Authors: | DENG Zili SUN Shuli XU Yan SHI Ying |
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| 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. |
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| Keywords: | systems with correlated noises ARMA innovation model iterated solution of Riccati equation |
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