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在不准确方差下带随机系数矩阵的卡尔曼滤波稳定性

周振威 方海涛

周振威, 方海涛. 在不准确方差下带随机系数矩阵的卡尔曼滤波稳定性. 自动化学报, 2013, 39(1): 43-52. doi: 10.3724/SP.J.1004.2013.00043
引用本文: 周振威, 方海涛. 在不准确方差下带随机系数矩阵的卡尔曼滤波稳定性. 自动化学报, 2013, 39(1): 43-52. doi: 10.3724/SP.J.1004.2013.00043
ZHOU Zhen-Wei, FANG Hai-Tao. L2-stability of Discrete-time Kalman Filter with Random Coefficients under Incorrect Covariance. ACTA AUTOMATICA SINICA, 2013, 39(1): 43-52. doi: 10.3724/SP.J.1004.2013.00043
Citation: ZHOU Zhen-Wei, FANG Hai-Tao. L2-stability of Discrete-time Kalman Filter with Random Coefficients under Incorrect Covariance. ACTA AUTOMATICA SINICA, 2013, 39(1): 43-52. doi: 10.3724/SP.J.1004.2013.00043

在不准确方差下带随机系数矩阵的卡尔曼滤波稳定性

doi: 10.3724/SP.J.1004.2013.00043
详细信息
    通讯作者:

    周振威

L2-stability of Discrete-time Kalman Filter with Random Coefficients under Incorrect Covariance

  • 摘要: 针对离散时间线性随机系统,研究了卡尔曼滤波的L2-稳定性问题. 考虑具有这两个特点的系统: 1)系数矩阵是随机的; 2)过程噪声、量测噪声、初始估计误差的方差矩阵不准确. 在系数矩阵有界、条件能观测、初始估计误差有界的假设下, 得到了卡尔曼滤波的L2-稳定性. 同时, 建立了卡尔曼滤波和状态空间最小二乘的等价性, 并在该等价性基础上得到状态空间最小二乘的状态估计误差L2-稳定性. 最后, 数值仿真说明了卡尔曼滤波的有效性.
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出版历程
  • 收稿日期:  2012-03-09
  • 修回日期:  2012-06-19
  • 刊出日期:  2013-01-20

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