离散随机线性系统最优滤波、预报和平滑估计的一种统一方法

A Unified Algorithm to the Optimal Filtering, Smoothing and Prediction for the Discrete Stochastic Linear System

基于射影理论及新息分析方法,讨论离散随机线性系统最优状态估计问题。提出一种统一处理系统最优滤波、预报和平滑估计的新方法,证明了新算法的渐近稳定性。

This paper deals with the optimal state estimation problem for the discrete stochastic system based on the innovation theory and projection method. A unified algorithm to the optimal filtering, smoothing and prediction is presented, and the asymptotic stability for the initial value of the algorithm is proved.