有色噪声条件下的实用Kalman滤波方法研究

Kalm an滤波技术是现代信息处理中的重要工具,但是基本的Kalm an滤波基本方程中要求系统噪声和量测噪声必须为互不相关的均值为零的白噪声过程,限制了应用的范围。该文研究了在系统噪声和量测噪声都是有色噪声条件下的Kalm an滤波方法,运用状态扩充法和量测扩增法推导了全套的滤波方程,拓宽了Kalm an滤波器在工程中的应用范围。

Analysis of Kalman Filtering Method Under Colored Noise

Kalman filtering is one of the most important tools in modern data processes,however,the system noise and the measured noise are limited to be independent white noises with zero mean value in the basic Kalman filtering equations.This paper deduces extended Kalman filtering equations that are suitable for the situation where the system noise and the measured noise are both colored ones,making use of the state expand method and the measurement expand method.The proposed method can widen the application of Kalman filter to engineering.