一类非因果系统的最优滤波与平滑
Optimal Filtering and Smoothing of a Class of Non-Causal Systems
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摘要: 研究一类非因果系统的最小方差滤波与平滑.引入前、后向马尔可夫过程的等价性定理, 得到了等价系统实现最优滤波的条件,并给出最优滤波和平滑算法.该算法可应用于一系列 实际问题中.Abstract: In this paper, minimum variance filtering and smoothing algorithms of a class of non-causal systems are discussed. Using the equivalence theorem of the forward and backward Markovian processes, the conditions for optimal filtering is obtained, and the formulas for optimal filtering and smoothing are given. The algorithm can be applied to a wide range of problems.
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Key words:
- non-causal systems /
- Markovian processes /
- Kalman filter /
- optimal smoothing
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