加性复合有色噪声干扰下的强跟踪滤波器

Strong Tracking Filter with Additive Combined Colored Noise

将周东华等人提出的强跟踪扩展卡尔曼滤波器推广到一类加性复合有色噪声干扰下的非线性时变随机系统。通过增广状态向量 ,线性化非线性的增广状态空间模型和采用等效量测方程 ,加性复合有色噪声干扰下的强跟踪扩展卡尔曼滤波器问题可以转化为过程与量测噪声相关情况下的强跟踪卡尔曼滤波器问题。数值仿真示例显示了方法的有效性。

The strong tracking extended Kalman filter, which was proposed by Zhou et al., is extended to a class of nonlinear timeˉvarying stochastic systems with additive combined colored noise. By augmenting the state vector, linearizing the nonlinear augmented state space model and adopting the equivalent measurement equation, the problem of strong tracking extended Kalman filter with additive combined colored noise can be converted into the problem of strong tracking Kalman filter with correlated process and measurement noise. A numerical simulation example is given to show the effectiveness of the method.