| 带有状态噪声的连续时间的Kalman—Bucy滤波器(英文) |
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| 引用本文： | 奚宏生,杨孝先. 带有状态噪声的连续时间的Kalman—Bucy滤波器(英文)[J]. 中国科学技术大学学报, 1988, 0(4) |
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| 作者姓名： | 奚宏生 杨孝先 |
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| 作者单位： | 中国科学技术大学数学系(奚宏生)，中国科学技术大学数学系(杨孝先) |
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| 摘 要： | 本文应用由T.Kailath在[1]中介绍的新息法导出了比[2]、[3]更具有一般性的,带有状态噪声的连续时间的Kalman-Bucy滤波器。
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| 关 键 词： | 状态噪声 新息法 正交射影 |
The Kalman-Bucy Recursive Filtering Formulas of Continuous-time Linear Systems With State-Noise |
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| Xi Hongsheng,Yang Xiaoxian. The Kalman-Bucy Recursive Filtering Formulas of Continuous-time Linear Systems With State-Noise[J]. Journal of University of Science and Technology of China, 1988, 0(4) |
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| Authors: | Xi Hongsheng Yang Xiaoxian |
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| Affiliation: | Xi Hongsheng;Yang Xiaoxian Department of Mathematics |
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| Abstract: | By using the innovations approach introduced by ProfessorT. Kailath, this paper leads to a more general result than [2], [3],i. e., the Kalman-Bucy recursive filtering formulas of continuous-timelinear systems with state-noise. |
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| Keywords: | state-noise innovations approach orthogonal projection |
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