一种新的固定滞后最优Kalman平滑器

A new fixed-lag optimal Kalman smoother

基于带相关噪声系统的一种最优Kalman滤波算法,应用白噪声估计理论和射影理论,提出了一种带白噪声估值器的固定滞后最优Kalman平滑器。它可递推实现,一个仿真例子说明了其有效性。

Based on an optimal Kalman filtering algorithm for systems with correlated noises, by using the white noise estimation theory and projection theory, a fixed-lag optimal Kalman smoother with white noise estimator is presented. It can be implemented recursively. A simulation example shows its effectiveness.