2007卡尔曼滤波.pptVIP

What Kalman Filter Can Do ? A Kalman filter is an optimal estimator – ie infers parameters of interest from indirect , inaccurate and uncertain observations. It is recursive so that new measurements can be processed as they arrive. Optimal in what sense ? If all noise is Gaussian, the Kalman filter minimises the mean sqare error of the estimated parameters. Why is Kalman Filtering so popular ? Good results in practice due to optimality and structure. Convenient form online real time processing. Easy to formulate and implement given a basic understanding. Measurement equations need not be inverted. Why use the word “Filter” ? The process of finding the “best estimate” from noisy data amounts to “filtering out” the noise. However a Kalman filter also doesn’t just clean up the data measurements, But also projects these measurements onto the state estimate. §４.5 卡尔曼滤波的信号模型——状态方程与量测方程 4.5.1 离散状态方程 本节重点 对状态方程和量测方程的物理意义理解 （可从不同的角度来认识,系统自身的状态变化规律以及传感器的测量情况等） 几个基本概念 几个基本概念 色噪声模型的卡尔曼滤波 状态方程 量测方程 其中　　为有色噪声 解决问题的基本思想：扩充向量法 　 状态方程 量测方程 例题:基于卡尔曼滤波的角速度估计 清华张贤达 本章小结 1。掌握Wiener滤波器的作用－－噪声中信号的恢复（估计）。 2。掌握Wiener滤波器的设计原则－－保证估计结果的均方误差最小（正交原理）。 3。掌握Wiener滤波器设计实质及结果－－实质为解Wiener－Hofp方程，结果形式为单位冲激响应h(n)(时域)或系统函数H(z)（频域）. z=0.01*randn(1,150)-0.37727; xx(1)=-0.31; Q=0.000001; R=1; p(1)=0.02; s(1)= -0.37727; for k=2:1:150 s(k)= -0.37727; 正弦信号 clc; clear all; t=1:300; s1=sin(4*pi*t/300);%有用信号 C=1; %噪音强度 N=3; %某点的观测次数,可改变 for t=1:300 z=C*randn(1,N)+sin(4*pi*t/300);%在某个点观察了N次的测量结果 xx(1)=0; %xx(1)=sin(4*pi*t/300);初试值可改变 多变量形式 n=6000; Fs=300; t=1:n; X=[10*sin(t/Fs);10*cos(t/Fs)]; N1=10*randn(1,n); N2=10*randn(1,n); Z=[N1+X(1,t);N2+X(2,t)]; % input signal = Guass state noise + sin/cos XX=10*diag(ones(2,1)); % inital value PP=4*diag(ones(2,1)); % inital value Q=0.02*diag(ones(2,1)); R=10*diag(ones(2,1)); A(1)=XX(1,1); B(1)=XX(2,2); I=diag(ones(2,1)); Xs=diag(zeros(2,1)); Ps=diag(zeros(2,1)); su