具有随机状态转移矩阵的Kalman滤波

KALMAN FILTERING WITH STOCHASTIC STATE TRANSITION MATRIX

讨论状态转移矩阵为随机性矩阵时的Kalman滤波方法,并给出滤波的具体算法及分析滤波的收敛特性和参数的取值范围。通过实际算例证实了该滤波方法的有效性。

The Kalman filtering method of the state transition matrix for the random matrix is discussed,specific filtering algorithms is given,and the convergence characteristics of filter and the range of parameters are analyzed.Finally,the effectiveness of this filtering method is confirmed by a practical example.