带有色量测噪声的非线性系统 Unscented 卡尔曼滤波器

传统Unscented卡尔曼滤波器(Unscented Kalman filter, UKF)要求噪声必须为高斯白噪声, 无法解 决带有色噪声的非线性系统滤波问题. 为此, 本文提出了一种带有色量测噪声的UKF滤 波新算法. 首先,基于量测信息增广和最小方差估计, 推导出一类带有色量测噪声的非 线性离散系统状态的最优滤波框架, 接着采用Unscented变换(Unscented transformation, UT)来计算最优框架中的 非线性状态后验均值和协方差, 进而得到有色量测噪声下UKF滤波递推公式. 所设 计的UKF新方法能有效地解决传统UKF在量测噪声有色情况下非线性滤波失效的问题, 数 值仿真实例验证了其可行性和有效性.

Unscented Kalman Filter for Nonlinear Systems with Colored Measurement Noise

Traditional unscented Kalman filter (UKF) calls for that noise should be Gaussian white one, and can not solve nonlinear filtering problem with colored noise. For this reason, a new UKF filtering algorithm with colored measurement noise is proposed. Firstly, optimal filtering framework for a class of nonlinear discrete-time systems with colored measurement noise is derived on the basis of augmented measurement information and minimum mean square error estimation. Secondly, filtering recursive formula of UKF with colored noise is proposed through applying unscented transformation (UT) to calculation the posterior mean and covariance of the nonlinear state in this optimal framework. The proposed UKF can effectively deal with the issue that traditional UKF is failure under the condition that measurement noise is colored. A numerical simulation example also shows its feasibility and effectiveness.