带有色噪声非线性广义系统Kalman估值器  

Nonlinear descriptor system Kalman estimator with colored noise

作　　者：宋国东[1] 姜守达[1] 刘晓东[1] 林连雷[1] 

机构地区：[1]哈尔滨工业大学自动化测试与控制研究所,哈尔滨150080

出　　处：《仪器仪表学报》2014年第7期1532-1538,共7页Chinese Journal of Scientific Instrument

基　　金：国家自然科学基金(61201305)资助项目

摘　　要：针对带有色噪声的线性与非线性广义系统,提出了Kalman估值器。对于非线性系统,首先应用泰勒公式将非线性系统化为线性系统。对于线性广义系统,应用奇异值分解将原广义系统滤波问题转化为2个正常子系统滤波问题。通过量测变换方法将有色量测噪声白化,因此问题转化为带相关白噪声正常系统Kalman状态估计。最后,基于Kalman滤波得到了带有色噪声广义系统Kalman估值器,进而得到带有色噪声的原广义系统滤波器。通过2个仿真实验分别显示了2个算法有效性。Aiming at linear and nonlinear descriptor systems with colored noise, a Kalman state estimator is presented. Firstly, the nonlinear system is transformed into linear system with Taylor formula. For linear descriptor system, the singular value decomposition is used to transform the filter problems of original descriptor systems into the filter problems of two normal subsystems. The measurement transformation method is applied to change the colored observation noise to white noise. So the problems are transformed to the Kalman state estimator problems of normal systems with correlated white noise. In the end, the descriptor Kalman estimator with colored noise is derived on the basis of Kalman filter, and then, the original descriptor system filter with colored noise is obtained. Two Monte-Carlo simulation examples show the effectiveness of the two algorithms.

关 键 词：非线性系统 广义系统 卡尔曼 有色噪声 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]