噪声方差未知卡尔曼滤波平滑

Kalman Filter Smoother for Systems of Unknown Noise Covariance

文章基于噪声方差未知的卡尔曼滤波,提出新的固定点卡尔曼滤波平滑器,推导出方差未知时卡尔曼滤波平滑方程,并且给出平滑增益阵和平滑误差方差阵新算法,结论分析平滑运算可以改善滤波的性能,提高估计的精度.

Based on Kalman filter of unknown noise covariance,the paper presents a new Kalman filter smoother.The algorithm of Kalman filter of unknown noise covariance is given and so are new algorithms for the smoother gain matrix and the variance matrix of the smoothing error.The conclusion shows that the smoother can improve the precision.