| 转移矩阵未知时带乘性噪声系统的自适应滤波算法 |
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| 引用本文： | 褚东升,刘祺,张玲.转移矩阵未知时带乘性噪声系统的自适应滤波算法[J].中国海洋大学学报(自然科学版),2011,41(6):115-118,124. |
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| 作者姓名： | 褚东升 刘祺 张玲 |
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| 作者单位： | 中国海洋大学工程学院,山东,青岛,266100 |
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| 摘 要： | 针对带乘性噪声系统状态转移矩阵未知的情况,提出1种在线性最小方差意义下的系统参数和状态联合滤波算法。以迭代方式获得模型参数和系统状态的递推估计:首先,利用之前时刻的状态估计值,根据投影定理,对系统未知参数即系统状态转移矩阵作出估计;其次,利用已得到的系统参数估计值,获取当前时刻的状态滤波。计算机仿真结果表明了算法的有效性。
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| 关 键 词： | 乘性噪声 转移矩阵 自适应滤波 线性最小方差估计 |
Adaptive Estimation Algorithm for Systems with Multiplicative Noise and Unknown Transfer Matrix |
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| CHU Dong-Sheng,LIU Qi,ZHANG Ling.Adaptive Estimation Algorithm for Systems with Multiplicative Noise and Unknown Transfer Matrix[J].Periodical of Ocean University of China,2011,41(6):115-118,124. |
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| Authors: | CHU Dong-Sheng LIU Qi ZHANG Ling |
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| Institution: | CHU Dong-Sheng,LIU Qi,ZHANG Ling(College of Engineering,Ocean University of China,Qingdao 266100,China) |
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| Abstract: | In the sense of linear minimum-variance,this paper develops a corresponding recursive algorithm for stochastic linear systems with multiplicative noise whose transfer matrix is unknown.That is to say,estimations of parameters and states are obtained by the way of iteration.First,according to projection theorem,the system parameters are estimated by the using of the state estimation of previous moment.Then,based on the estimation of the system parameters,the optimal filtering of the current moment is obtaine... |
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| Keywords: | multiplicative noise transfer matrix adaptive filtering linear minimum-variance estimation |
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