| 卡尔曼滤波法方差估计的理论研究 |
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| 引用本文： | 许国辉,徐晖. 卡尔曼滤波法方差估计的理论研究[J]. 武汉大学学报(工学版), 2004, 37(4): 28-31 |
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| 作者姓名： | 许国辉 徐晖 |
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| 作者单位： | 1. 广州大学土木工程学院,广东,广州,510405
2. 武汉大学水利水电学院,湖北,武汉,430072 |
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| 摘 要： | 在卡尔曼滤波中,用传统的赫尔默特法进行方差估计时,不仅计算公式复杂,而且计算量非常大.基于广义最小二乘法导出的滤波公式,根据赫尔默特方差估计的基本原理,推导出了用预测残差向量进行方差估计的新公式.与传统的方差估计公式相比较,新公式不仅形式简单,而且大大减少了方差估计的计算量.
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| 关 键 词： | 卡尔曼滤波 残差向量 方差估计 |
| 文章编号： | 1671-8844(2004)04-028-04 |
| 修稿时间： | 2003-05-14 |
A study of variance estimation of kalman filtering method |
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| XU Guo-hui,XU Hui. A study of variance estimation of kalman filtering method[J]. Engineering Journal of Wuhan University, 2004, 37(4): 28-31 |
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| Authors: | XU Guo-hui XU Hui |
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| Affiliation: | XU Guo-hui~1,XU Hui~2 |
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| Abstract: | When the variances of observations are estimated with the traditional Helmert method in Kalman filtering, the estimation formula is very complex with a large amount of calculation. According to the filtering formula deduced by the generalized least squares method and the fundamental principle of Helmert variance estimation, a new variance estimation formula with forecast residual vector is deduced. Compared with the traditional estimation formula, the new one is simpler with less calculation. |
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| Keywords: | Kalman filtering residual vector variance estimation |
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