相关噪声系统固定区间最优Kalman平滑器

Fixed - interval optimal Kalman smoother for systems with correlated noises

基于带相关噪声系统的一种Kalman滤波器,应用射影理论,提出了一种固定区间最优Kalman平滑器,它可用反向递推形式实现,算法简单,但于实时应用。推广了带不相关噪声系统的一个现有结果。一个仿真例子说明了其有效性。

Based on Kalman filter for systems with correlated noises, by using the projection theory, a fixed - interval optimal Kalman smoother is presented. It can be implemented in a backward recursive form. Its algorithm is simple, and is suitable for real time applications. A existing result for systems with uncorrelated noises is extended. A simulation example shows its effectiveness.