| 一类新的固定点和固定区间KALMAN平滑器 |
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| 引用本文： | 邓自立,刘玉梅.一类新的固定点和固定区间KALMAN平滑器[J].自动化学报,1999,25(1):32-37. |
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| 作者姓名： | 邓自立 刘玉梅 |
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| 作者单位： | 1.黑龙江大学应用数学研究所,哈尔滨; |
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| 摘 要： | 应用现代时间序列分析方法,基于ARMA新息模型和白噪声估值器,对线性定常
离散随机系统提出了两种新的固定点Kalman平滑器和两种新的正向固定区间Kalman平滑
器.它们的优点是避免了解Riccati方程,算法简单,可在线实现.为了保证它们的最优性,给
出了最优初值估值公式.仿真例子说明了其有效性.
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| 关 键 词： | 固定点Kalman平滑器 正向固定区间Kalman平滑器 现代时间序列分析方法 |
| 收稿时间： | 1997-5-19 |
NEW FIXED-POINT AND FIXED-INTERVAL KALMAN SMOOTHERS |
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| DENG Zili,LIU Yumei.NEW FIXED-POINT AND FIXED-INTERVAL KALMAN SMOOTHERS[J].Acta Automatica Sinica,1999,25(1):32-37. |
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| Authors: | DENG Zili LIU Yumei |
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| Affiliation: | 1.Institute of Applicd Mathematics,Heilongjiang University,Harbin;Department of Flying,Civil Aviation Institute of China,Tianjin |
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| Abstract: | Using the modern time series analysis method,based on the autoregressive moving average (ARMA)innovation model and white noise estimators,this paper presents two new fixed point Kalman smoothers and two new forward fixed interval Kalman smoothers for linear discrete time invariant stochastic systems.Their advantages are that the solution of the Riccati equation is avoided,and that the algorithms are simple and can be implemented on line.The optimal initial estimate formulas are given in order to ensure the optimality of the proposed smoothers.A simulation example shows their usefulness. |
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| Keywords: | Fixed point Kalman smoothers forward fixed interval Kalman smoothers modern time series analysis method |
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