| Analysis of Optimal Conditions for Two-stage Kalman Estimator |
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| 作者姓名： | 周露 吴瑶华 黄文虎 闻新 |
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| 作者单位： | Dept. of Astronautics and Mechanics，Harbin Institute of Technology，Harbin，150001，China |
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| 摘 要： | The optimal conditions for two-stage Kalman estimator with random bias of anARMA model is considered in this paper.First,the optimal augmented state Kalman fil-ter and the two-stage Kalman estimator are given.Second,under an algebraic constraint,the equivalence between the two-stage Kalman estimator and the optimal augmented stateKalman filter is proved.Finally,because the given algebraic constraint are restrictive inpractice,the results thus obtained implies that two-stage Kalman estimator is suboptimal.
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Analysis of Optimal Conditions for Two-stage Kalman Estimator |
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| ZHOU Lu,WU Yaohua,HUANG Wenhu,WEN Xin.Analysis of Optimal Conditions for Two-stage Kalman Estimator[J].Journal of Harbin Institute of Technology,1997(3). |
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| Authors: | ZHOU Lu WU Yaohua HUANG Wenhu WEN Xin |
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| Abstract: | The optimal conditions for two-stage Kalman estimator with random bias of an ARMA model is considered in this paper. First, the optimal augmented state Kalman filter and the two-stage Kalman estimator are given. Second, under an algebraic constraint, the equivalence between the two-stage Kalman estimator and the optimal augmented state Kalman filter is proved. Finally, because the given algebraic constraint are restrictive in practice, the results thus obtained implies that two-stage Kalman estimator is suboptimal. |
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| Keywords: | Kalman filter estimator of state optimal filtering two-stage kalman estimator ARM A model random bias |
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