Kalman滤波的自适应算法  

ADAPTIVE KALMAN FILTER ALGORITHM

作　　者：刘国庆[1] 郭金吉[1] 

机构地区：[1]南京化工大学基础科学系,南京210009

出　　处：《高等学校计算数学学报》1997年第4期337-345,共9页Numerical Mathematics A Journal of Chinese Universities

摘　　要：1 引 言 本文,我们讨论时不变线性随机系统 这里A、Γ和C分别是已知的n×n,n×p和q×n阶常数矩阵,1≤p,q≤n,且{ξ_k}{η_k}是均 值为零的高斯白噪声序列。This study aims at the Kalman filter for a linear time-invariant stochastic system in which system noise variance PQTT and observation noise variance R are unknown. An adaptive Kalman filter is given. Meanwhile, the estimation is proved to he asymptotic unbias and consistency. Finally, a real-time application is presented.

关 键 词：KALMAN滤波 自适应算法 随机系统 

分 类 号：O211.64[理学—概率论与数理统计] O231[理学—数学]