噪声相关条件下Unscented卡尔曼滤波器设计  

Design of unscented Kalman filter with correlative noises

作　　者：王小旭 赵琳[1] 夏全喜[1] 曹伟[2] 李亮[1] 

机构地区：[1]哈尔滨工程大学自动化学院,黑龙江哈尔滨150001 [2]齐齐哈尔大学计算机与控制学院,黑龙江齐齐哈尔161006

出　　处：《控制理论与应用》2010年第10期1362-1368,共7页Control Theory & Applications

基　　金：国家自然科学基金资助项目(60974104);船舶工业国防科技预研基金资助项目(08J3.8.8)

摘　　要：针对传统Unscented卡尔曼滤波器(UKF)在噪声相关条件下非线性滤波失效的问题,研究了一类带相关噪声的非线性离散系统UKF设计方法.文中基于最小均方误差估计准则,给出了系统噪声和量测噪声相关时UKF滤波递推公式,并采用Unscented变换(UT)来计算系统状态的后验均值和协方差.所设计的噪声相关条件下UKF有效克服了传统UKF必须假设系统噪声和量测噪声为互不相关高斯白噪声的局限性,拓展了UKF的应用范围.仿真实例验证了其可行性和有效性.An Unscented-Kalman Filter（UKF） for a class of nonlinear discrete-time systems with correlated noises is designed to deal with the problem of nonlinear filtering failure in conventional UKF when system noise is correlated with measurement noise. Recursive filtering equations of UKF with correlated noises are given based on the minimum meansquare-error estimation; and unscented transformation（UT） is applied to the calculation the posterior means and covariances of the nonlinear system states. The proposed UKF breaks through the limitations on the conventional UKF that the system noise and measurement noise must be uncorrelated Gauss white noises, thus extending the applications of the conventional UKF. A simulation example shows its feasibility and effectiveness.

关 键 词：非线性离散系统 噪声相关条件TUKF 最小均方误差估计 Unscented变换 可行性 有效性 

分 类 号：TN713[电子电信—电路与系统]