固定区间Kalman平滑新算法

New Fixed Interval Kalman Smoothing Algorithms

用现代时间序列分析方法 ,基于ARMA新息模型和白噪声估值器 ,提出了一种正向固定区间稳态Kalman平滑新算法和两种反向固定区间稳态Kalman平滑新算法 ,并给出了保证算法最优性的最优初值公式 .算法简单 ,便于实时应用 .仿真例子说明了它们的有效性 .

Using the modern time series analysis method,based on the autoregressive moving average (ARMA) innovation model and white noise estimators,a new forward fixed interval steady state Kalman smoothing algorithm and two new backward fixed interval steady state Kalman smoothing algorithms are presented,and the optimal initial value formulae are given to guarantee the optimality of algorithms.The algorithms are simpler,and are suitable for real time applications.Two simulation examples show their effectiveness.\;