多通道带乘性噪声系统的分部滤波算法

Partitioned Filtering Algorithm for Multi-Channel Systems with Multiplicative Noise

针对多通道观测环境下带乘性噪声系统的最优滤波问题,提出了1种状态最优滤波的分部算法。分部估计方法将状态估计分解为标称滤波估计和余项估计2项相加的形式。该算法在线性最小方差意义下是最优的。仿真实例表明,分部算法的鲁棒性更强,对系统初值的改变具有更强的适应能力。

A partitioned optimal filtering algorithm for multi-channel systems with multiplicative noise among observation channels is proposed. It decomposes the traditional state vector into the sum of the nominal filtered estimate and the remainder estimate. This algorithm is optimal in the sense of linear minimum-variance. Simulation examples to demonstrate the performance of the partitioned algorithms show that the algorithm possesses robustness and high adaptability.