| 引用本文: | 王小旭,赵琳,夏全喜,曹伟,李亮.噪声相关条件下Unscented卡尔曼滤波器设计[J].控制理论与应用,2010,27(10):1362~1368.[点击复制] |
| WANG Xiao-xu,ZHAO Lin,XIA Quan-xi,CAO Wei,LI Liang.Design of unscented Kalman filter with correlative noises[J].Control Theory and Technology,2010,27(10):1362~1368.[点击复制] |
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| 噪声相关条件下Unscented卡尔曼滤波器设计 |
| Design of unscented Kalman filter with correlative noises |
| 摘要点击 2144 全文点击 1573 投稿时间：2009-05-31 修订日期：2009-11-15 |
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| DOI编号 10.7641/j.issn.1000-8152.2010.10.CCTA090684 |
| 2010,27(10):1362-1368 |
| 中文关键词 非线性离散系统 噪声相关条件下UKF 最小均方误差估计 Unscented变换 可行性 有效性 |
| 英文关键词 nonlinear discrete-time systems UKF with correlated noises minimum mean-square-error estimation unscented transformation feasibility effectiveness |
| 基金项目 国家自然科学基金资助项目(60974104); 船舶工业国防科技预研基金资助项目(08J3.8.8). |
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| 中文摘要 |
| 针对传统Unscented卡尔曼滤波器(UKF)在噪声相关条件下非线性滤波失效的问题, 研究了一类带相关噪声的非线性离散系统UKF设计方法. 文中基于最小均方误差估计准则, 给出了系统噪声和量测噪声相关时UKF滤波递推公式, 并采用Unscented变换(UT)来计算系统状态的后验均值和协方差. 所设计的噪声相关条件下UKF有效克服了传统UKF必须假设系统噪声和量测噪声为互不相关高斯白噪声的局限性, 拓展了UKF的应用范围. 仿真实例验证了其可行性和有效性. |
| 英文摘要 |
| An Unscented-Kalman Filter(UKF) for a class of nonlinear discrete-time systems with correlated noises is designed to deal with the problem of nonlinear filtering failure in conventional UKF when system noise is correlated with measurement noise. Recursive filtering equations of UKF with correlated noises are given based on the minimum meansquare-error estimation; and unscented transformation(UT) is applied to the calculation the posterior means and covariances of the nonlinear system states. The proposed UKF breaks through the limitations on the conventional UKF that the system noise and measurement noise must be uncorrelated Gauss white noises, thus extending the applications of the conventional UKF. A simulation example shows its feasibility and effectiveness. |