引用本文:邓自立,孙书利.基于Kalman滤波的带相关噪声系统统一的Wiener状态估值器[J].控制理论与应用,2003,20(4):573~576.[点击复制]
DENG Zi-li,SUN Shu-li.Wiener state estimators based on Kalman filtering for systems with correlated noises[J].Control Theory and Technology,2003,20(4):573~576.[点击复制]
基于Kalman滤波的带相关噪声系统统一的Wiener状态估值器
Wiener state estimators based on Kalman filtering for systems with correlated noises
摘要点击 1620  全文点击 1256  投稿时间：2002-03-04  修订日期：2002-10-22
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DOI编号  10.7641/j.issn.1000-8152.2003.4.019
  2003,20(4):573-576
中文关键词  相关噪声系统  状态估计  Wiener滤波器  Kalman滤波方法
英文关键词  systems with correlated noises  state estimation  Wiener state filter  Kalman filtering method
基金项目  黑龙江省自然科学基金(F01-15).
作者单位E-mail
邓自立 黑龙江大学 应用数学 研究所自动化系, 黑龙江 哈尔滨 150080 dzl@hlju.edu.cn 
孙书利 黑龙江大学 应用数学 研究所自动化系, 黑龙江 哈尔滨 150080  
中文摘要
      基于Kalman滤波和白噪声估值器, 对带非零均值相关噪声系统提出了渐近稳定的统一的和通用的Wiener状态估值器. 它们可统一处理滤波、平滑和预报问题, 且避免了计算最优初始状态估值. 它们揭示了Kalman滤波器和Wiener滤波器之间的关系.一个仿真例子说明其有效性.
英文摘要
      Based on the Kalman filtering and white noise estimators, the unified, general and asymptotically stable Wiener state estimators were presented for systems with correlated noises having non-zero means. They could handle the filtering, smoothing and prediction problems in a unified framework, and avoid computing the optimal initial state estimates. The relation between the Kalman filter and Wiener filter was discovered. A simulation example shows their effectiveness.