带有色噪声非线性广义系统Kalman估值器 .pdfVIP

学兔兔 第35卷 第7期 仪 器 仪 表 学 报 Vol_35 No．7 2014年7月 Chinese Journal of Scientific Instrument Ju1．2014 带有色噪声非线性广义系统Kalman估值器木 宋国东，姜守达，刘晓东，林连雷 (哈尔滨工业大学自动化测试与控制研究所 哈尔滨 150080) 摘 要：针对带有色噪声的线性与非线性广义系统，提出了Kalman估值器。对于非线性系统，首先应用泰勒公式将非线性系 统化为线性系统。对于线性广义系统，应用奇异值分解将原广义系统滤波问题转化为2个正常子系统滤波问题。通过量测变 换方法将有色量测噪声白化，因此问题转化为带相关白噪声正常系统Kalman状态估计。最后，基于Kalman滤波得到了带有色 噪声广义系统Kalman估值器，进而得到带有色噪声的原广义系统滤波器。通过2个仿真实验分别显示了2个算法有效性。 关键词：非线性系统；广义系统；卡尔曼；有色噪声 中图分类号：TP273 文献标识码：A 国家标准学科分类代码：510．40 Nonlinear descriptor system Kalman estimator with colored noise Song Guodong，Jiang Shouda，Liu Xiaodong，Lin Lianlei (Institute of Automatic Test and Control，Harbin Institute of Technology，Ha~in 150080，China) Abstract：Aiming at linear and nonlinear descriptor systems with colored noise，a Kalman state estimator is presented．Firstly，the non— linear system is transformed into linear system with Taylor formula．For linear descriptor system，the singular value decomposition is used to transform the filter problems of original descriptor systems into the filter problems of two normal subsystems．The measurement trans— formation method is applied to change the colored observation noise to white noise．So the problems are transformed to the Kalman state estimator problems of normal systems with correlated white noise．In the end，the descriptor Kalman estimator with colored noise is de— rived on the basis of Kalman fiher，and then，the original descriptor system filter with colored noise is obtained．Two Monte—Carlo simu— lation examples show the effectiveness of the two algorithms． Keywords：nonlinear system；descriptor system；Kalman；colored noise