| 有色噪声情况下状态预测值修正的Kalman滤波 |
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| 引用本文： | 甘雨,隋立芬,马成.有色噪声情况下状态预测值修正的Kalman滤波[J].测绘学院学报,2011(3). |
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| 作者姓名： | 甘雨 隋立芬 马成 |
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| 作者单位： | 信息工程大学测绘学院;66240部队; |
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| 基金项目： | 国家自然科学基金资助项目(40974010;40971306) |
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| 摘 要： | 利用线性最小方差估计方法,以正交投影理论为工具,推导了动态线性系统在状态噪声为有色噪声情形下的状态预测值及其相应的协方差阵。在形式上,此预测值比经典Kalman滤波预测值多出一项,该项包含了前一时刻的新息。对新预测值进行分析,得出了有色状态噪声条件下Kalman滤波的新算法,扩展了经典Kalman滤波的应用范围。最后通过一个模拟算例,证明了该算法的有效性。
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| 关 键 词： | 有色噪声 正交投影 Kalman滤波 状态预测值 线性最小方差估计 |
Kalman Filter Based on Correcting State Prediction in Case of Colored Noise |
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| GAN Yu,SUI Li-fen,MA Cheng.Kalman Filter Based on Correcting State Prediction in Case of Colored Noise[J].Journal of Institute of Surveying and Mapping,2011(3). |
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| Authors: | GAN Yu SUI Li-fen MA Cheng |
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| Institution: | GAN Yu1,SUI Li-fen1,MA Cheng2(1.Institute of Surveying and Mapping,Information Engineering University,Zhengzhou 450052,China,2.66240 Troops,Beijing 100042,China) |
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| Abstract: | Using linear minimum variance estimation method and orthogonal projection theory,state prediction and its variance of dynamic linear system with colored state noise was derived.This state prediction has one more term than the state prediction of classic Kalman filter,and the new term contains the innovation vector of last epoch.The derived state prediction was analyzed,a new algorithm of Kalman filter was derived which extended the application of classic Kalman filter.A simulation example showed the validit... |
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| Keywords: | colored noise orthogonal projection Kalman filter state prediction linear minimum variance estimation |
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