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带有乘性噪声的线性时滞系统固定步长平滑估计 被引量:1

Fixed-lag smoothing for linear time-delay systems with multiplicative noise
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摘要 研究带有乘性噪声的线性时滞系统的固定步长平滑估计问题.通过虚拟噪声补偿技术,将该问题转化为一类带有未知时变噪声的随机系统的估计问题;基于等价系统的新息重组分析及投影定理,通过求解与原系统同维的Riccati方程,得到系统的最优平滑估计器.该方法无需扩维,具有较大的计算优势.仿真实验表明了该算法的有效性. The fixed-lag smoothing problem is investigated for linear time-delay systems with multiplicative noise.The problem can be transformed into an estimate of stochastic system with unknown noises through compensation of fictitious noises.The smoother is presented by solving Riccati-type equations with the same dimension as the original systems based on the reorganized innovation approach and projection theory in Hilbert space.Therefore,there is computational advantage over traditional approaches.Simulation results show the effectiveness of the algorithm.
出处 《控制与决策》 EI CSCD 北大核心 2010年第6期934-938,960,共6页 Control and Decision
基金 国家自然科学基金项目(60774004) 山东省自然科学基金项目(Z2007G01 Y2008G04)
关键词 时滞系统 新息重组 固定步长平滑 虚拟噪声 Time-delay systems Reorganized innovation Fixed-lag smoothing Fictitious noise
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