| 多通道带乘性噪声系统观测噪声的最优估计 |
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| 引用本文： | 褚东升,王璐,陈萌. 多通道带乘性噪声系统观测噪声的最优估计[J]. 中国海洋大学学报(自然科学版), 2004, 34(3): 475-480 |
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| 作者姓名： | 褚东升 王璐 陈萌 |
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| 作者单位： | 中国海洋大学工程学院,山东,青岛,266071;中国海洋大学工程学院,山东,青岛,266071;中国海洋大学工程学院,山东,青岛,266071 |
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| 基金项目： | 国家自然科学基金数学天元基金 ( A0 3 2 4676)，教育部科学技术研究重点项目 ( 0 2 1 3 1 )资助 |
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| 摘 要： | 研究在多通道观测时观测噪声的最优估计问题。就多通道的乘性噪声为对角阵且动态噪声一步相关并与观测噪声在同时刻和过去相邻时刻也相关的复杂情况下给出了在线性最小方差意义下的观测噪声最优滤波估计算法和固定区间平滑估计算法。针对这些算法进行了仿真研究 ,仿真结果表明了算法的有效性。
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| 关 键 词： | 多通道随机系统 乘性噪声 线性最小方差估计 观测噪声估计器 |
| 文章编号： | 1672-1574(2004)03-475-06 |
| 修稿时间： | 2003-05-29 |
Optimal Estimation of Measurement Noise for Multi-Channel Systems with Multiplicative Noise |
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| CHU Dong-sheng,WANG Lu,CHEN Meng. Optimal Estimation of Measurement Noise for Multi-Channel Systems with Multiplicative Noise[J]. Periodical of Ocean University of China, 2004, 34(3): 475-480 |
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| Authors: | CHU Dong-sheng WANG Lu CHEN Meng |
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| Abstract: | In this paper an estimation of measurement noise is developed for multi-channel systems with multiplicative noise. An optimal filtering algorithm and an optimal fixed-interval smoothing algorithm are given under the conditions that the multiplicative noise is in the form of diagonal matrix and the dynamic noise correlates with itself in one-step and correlates with the measurement noise at the present step as well as one past step. These two algorithms are optimal in the sense of linearminimum-variance. Some simulations have been provided to show the validity of these algorithms. |
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| Keywords: | multi-channel stochastic system multiplicative noise linear minimum-variance estimation estimator of measurement noise |
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