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

作　　者：邓自立[1] 孙书利[1] 

机构地区：[1]黑龙江大学应用数学研究所自动化系,黑龙江哈尔滨150080

出　　处：《控制理论与应用》2003年第4期573-576,共4页Control Theory & Applications

基　　金：黑龙江省自然科学基金(F01-15)

摘　　要：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.

关 键 词：KALMAN滤波 相关噪声系统 Wiener状态估计值器 仿真 

分 类 号：O211.64[理学—概率论与数理统计]