| 广义离散随机线性系统自校正最优预报器 |
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| 引用本文： | 张焕水,邓自立.广义离散随机线性系统自校正最优预报器[J].自动化学报,1996,22(1):49-57. |
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| 作者姓名： | 张焕水 邓自立 |
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| 作者单位： | 1.泰安师范专科学校数学系,泰安; |
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| 摘 要： | 运用现代时间序列分析1]的方法研究广义离散随机线性系统最优及自适应状态估计.
将状态估计转化为输出预报和白噪声估计,从而提出了系统的最优预报器,并且证明最优预
报器对于初始值的选取渐近稳定.在噪声统计未知时提出了自校正预报器.仿真例子说明了
其有效性.
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| 关 键 词： | 广义离散随机线性系统 自校正 预报器 ARMA新息模型 |
| 收稿时间： | 1993-7-26 |
Self-Tuning Optimal Predictors for Singular Discrete Stochastic Linear Systems |
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| Zhang Huanshui,Deng Zili.Self-Tuning Optimal Predictors for Singular Discrete Stochastic Linear Systems[J].Acta Automatica Sinica,1996,22(1):49-57. |
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| Authors: | Zhang Huanshui Deng Zili |
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| Affiliation: | 1.Department of Mathematics,Taian Teacher's College Taian;Institute of APPlied Mathematics,Heilongjiang University Harbin |
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| Abstract: | Using the modern time series analysis method, this paper deals with the optimal and adaptive state stimation for the singular discrete stochastic linear systems. The optimal predictor is presented by converting the state estimation into the output prediction and noise estimation, and the asymptotic stability for the initial values of the optimal predictor is proved. The self-tuning predictor is also presented as the convariance matrixes are unknown in this paper. A simulation example shows its usefulness. |
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| Keywords: | Singular discrete stochastic linear system self-tuning predictor ARMA innovation model |
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