基于Kalman滤波的带相关噪声系统统一的Wiener状态估值器

Wiener state estimators based on Kalman filtering for systems with correlated noises

基于Kalman滤波和白噪声估值器,对带非零均值相关噪声系统提出了渐近稳定的统一的和通用的Wiener状态估值器。它们可统一处理滤波、平滑和预报问题,且避免了计算最优初始状态估值。它们揭示了Kalman滤波器和Wiener滤波器之间的关系.

Based on the Kalman filtering and white noise estimators, the unified, general and asymptotically stable Wiener state estimators were presented for systems with correlated noises having non-zero means. They could handle the filtering, smoothing and prediction problems in a unified framework, and avoid computing the optimal initial state estimates. The relation between the Kalman filter and Wiener filter was discovered. A simulation example shows their effectiveness.