有色噪声条件下的卡尔曼滤波

针对在实际工程中处理有色噪声存在滤波发散或结果失真的问题,提出一种有色噪声条件下的卡尔曼滤波方法。该方法利用线性变化,根据有色噪声相邻历元间噪声相关的特点,在动态噪声和观测噪声均为有色噪声的条件下,研究了卡尔曼滤波的方法,推导出有色噪声条件下卡尔曼滤波的递推公式。仿真结果表明,改进的方法比传统卡尔曼滤波对有色噪声信号处理效果更佳。

On Kalman filtering under colored noise

In practical engineering,filtering colored noise will result in filter divergence or distortion.In order to solve this problem,a Kalman filtering method under colored noise is proposed.Using a linear change,and making use of noise correlation between adjacent epochs, kalman filtering equations are achieved.They are suitable for the situation where the dynamic noise and the observational noise are both colored ones.Thus a linear model of colored kalman filtering is built.Simulation results show that the improved method has better performance in filtering colored noise than the traditional Kalman filtering method.