摘要
应用经典稳态Kalman滤波理论提出了设计Wiener状态估值器的新方法,其原理是:基于在Wiener滤波器形式下的稳态Kalman滤波器和预报器及ARMA新息模型,由稳态最优非递推状态估值器的递推变形引出Wiener状态估值器.所提出的Wiener状态估值器可统一处理状态滤波、预报和平滑问题.它们具有ARMA递推形式,且具有渐近稳定性和最优性,仿真例子说明了它们的有效性.
Using classical steady-state Kalman filtering theory, a new approach of designing Wiener state estimators is presented, whose principle is that based on steady-state Kalman filter and predictor given in the Wiener filter form, and using the autoregressive moving average (ARMA) innovation model, the recursive version of non-recursive steady-state optimal state estimators yields the Wiener state estimators. The proposed Wiener state estimators can handle the state filtering, smoothing and prediction problems in a unified framework. They have the ARMA recursive form, and have asymptotic stability and optimality. A simulation example shows their effectiveness.
出处
《自动化学报》
EI
CSCD
北大核心
2004年第1期126-130,共5页
Acta Automatica Sinica
基金
National Natural Science Foundation of P. R. China (69774019)
by Natural Science Foundation of Heilongjiang Province (F01-15)
关键词
KALMAN滤波
Wiener状态估值器
渐近稳定性
预报器
Computer simulation
Kalman filtering
Optimization
Recursive functions
System stability
Theorem proving