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带相关噪声的观测融合稳态Kalman滤波算法及其全局最优性 被引量:5

Measurement Fusion Steady-State Kalman Filtering Algorithm with Correlated Noises and Global Optimdity
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摘要 对于带相关的输入白噪声和观测白噪声及相关观测白噪声的多传感器线性离散定常随机系统,用加权最小二乘(WLS)法提出了一种加权观测融合稳态Kalman滤波算法,可处理状态、白噪声和信号融合滤波、平滑、预报问题。基于稳态信息滤波器证明了它完全功能等价于集中式观测融合稳态Kalman滤波算法,因而它具有渐近全局最优性,且可减少计算负担。一个跟踪系统仿真例子验证了它的功能等价性。 For the multisensor linear discrete time-invariant stochastic control systems with correlated input and measurement white noises, and with correlated measurement white muses, a weighted measurement fusion steady-state Kalman filtering algorithm is presented by using the Weighted Least Squares(WLS)method. It can handle the fused filtering, smoothing and prediction problems for the state, white noise and signal. Based on the steady-state information filter, it is proved that it is completely functionally equivalent to the centralized measurement fusion steady-state Kalman filtering algorithm, so that it has asymptotic global optimality, and can reduced the computational burden. A simulation examples for tracking systems verifies its functional equivalence.
出处 《电子与信息学报》 EI CSCD 北大核心 2009年第3期556-560,共5页 Journal of Electronics & Information Technology
基金 国家自然科学基金(60374026) 黑龙江大学自动控制重点实验室(F04-01)资助课题
关键词 多传感器信息融合 加权观测融合 相关噪声 稳态Kalman滤波 渐近全局最优性 Multisensor information fusion Weighted filtering Asymptotic global optimality measurement fusion Correlated noises Steady-state Kalman
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参考文献12

  • 1Gan Q and Harris C J. Comparison of two measurement fusion methods for Kalman filter-based mutisensor data fusion. IEEE Trans. on Aerospace and Electronic Systems, 2001, 37(1): 273-279.
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二级参考文献21

  • 1邓自立,郝钢,吴孝慧.两种加权观测融合算法的全局最优性和完全功能等价性[J].科学技术与工程,2005,5(13):860-865. 被引量:14
  • 2欧连军,邱红专,张洪钺.多个相关测量的融合算法及其最优性[J].信息与控制,2005,34(6):690-695. 被引量:13
  • 3邓自立.两种最优观测融合方法的功能等价性[J].控制理论与应用,2006,23(2):319-323. 被引量:13
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  • 5[2]Roecker J A,McGillen C D.Comparison of two-sensor tracking methods based on state vector fusion and measurement fusion.IEEE Trans Aerospace and Electronic Systems,1988;21 (4):447-449
  • 6[3]Li X R,Zhu Y M,Wang J,et al.Optimal linear estimation fusion-part Ⅰ:Unified fusion rules.IEEE Trans Information Theory,2003;49(9):2192-2208
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  • 10[10]Kailath T,Sayed A H,Hassibi B.Linear Estimation.Upper Saddle River,New Jersey:Prentice-Hall,2000

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