| 统一的快速次优固定区间白噪声Wiener平滑算法 |
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| 引用本文： | 邓自立,许燕,石莹,孙书利.统一的快速次优固定区间白噪声Wiener平滑算法[J].自动化学报,2004,30(2):224-228. |
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| 作者姓名： | 邓自立 许燕 石莹 孙书利 |
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| 作者单位： | 1.黑龙江大学应用数学研究所黑龙江大学自动化系,哈尔滨 |
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| 基金项目： | National Natural Science Foundation of P.R.China(60374026)，by Natural Science Foundation of Heilongjiang Province(F01-15) |
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| 摘 要： | 对带相关噪声的线性离散随机控制系统,应用Kalman滤波方法,基于CARMA新息模
型导出了统一的最优固定区间白噪声递推Wiener平滑器,它带有系数阵指数衰减到零的高阶多
项式矩阵.进一步用截断方法提出了相应的快速次优固定区间自噪声Wiener平滑算法,它显著
地减小了计算负担.给出了平滑误差公式和选择截断指数的公式.一个Bernoulli-Gaussian白噪声
的仿真例子说明了所提出的结果的有效性.
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| 关 键 词： | 反身地震学 白噪声估值器 固定区间白噪声Wiener平滑器 快速次优平滑算法 Kalman滤波方法 |
| 收稿时间： | 2002-8-25 |
Unified Fast Suboptimal Fixed-Interval White Noise Wiener Smoothing Algorithm |
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| DENG Zi-Li,XU Yan,SHI Ying,SUN Shu-Li.Unified Fast Suboptimal Fixed-Interval White Noise Wiener Smoothing Algorithm[J].Acta Automatica Sinica,2004,30(2):224-228. |
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| Authors: | DENG Zi-Li XU Yan SHI Ying SUN Shu-Li |
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| Affiliation: | 1.Institute of Applied Mathematics and Department of Automation,Heilongjiang University,Harbin |
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| Abstract: | For the discrete stochastic control systems with correlated noises, using the Kalman filtering method, based on the CARMA innovation model, a unified optimal fixed-interval white noise recursive Wiener smoother is derived. It contains high degree polynomial matrices with coefficient matrices exponentially decaying to zero. Further, by the truncation method, the corresponding fast suboptimal fixed-interval white noise Wiener smoothing algorithm is presented, which obviously reduces the computational burden. The error formula of the smoother and the formula of selecting the truncated index are given. A simulation example for Bernoulli-Gaussian white noise shows the effectiveness of the proposed results. |
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| Keywords: | Reflection seismology white noise estimators fixed-interval white noise Wiener smoother fast suboptimal smoothing algorithm Kalman filtering method |
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