基于Unscented变换的非线性状态平滑
doi: 10.3724/SP.J.1004.2012.01107
Application of Unscented Transformation for Nonlinear State Smoothing
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摘要: 众所周知, 平滑因可以使用更多的量测信息而能够获得比滤波更精确的状态估计. 为此, 本文提出一种面向非线性随机系统的状态平滑新算法. 首先, 基于最小方差估计理论, 提出了一种新颖的最优平滑器, 该平滑器为解决非线性状态平滑问题提供了一种通用的理论框架;接着, 采用Unscented变换(UT)来近似上述最优平滑框架中的平滑增益, 进而设计出一种次优平滑算法;最后, 相比传统扩展卡尔曼平滑器(EKS), 仿真结果验证了新算法的有效性和可行性.
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关键词:
- 非线性 /
- 最优平滑框架 /
- 最小方差 /
- Unscented变换 /
- 扩展卡尔曼平滑器
Abstract: Motivated by the well-known fact that the state estimate of a smoother is more accurate than that of the corresponding filter, this paper is concerned with the state smoothing problem for a class of nonlinear stochastic discrete systems. Firstly, a novel type of optimal smoother, which provides a unified theoretical framework for the solution of state smoothing problem no matter that system is linear or nonlinear, is derived on the basis of minimum mean squared error (MMSE) estimation theory. Further, in the case that the dynamic model and measurement functions are all nonlinear, a new suboptimal smoother is developed by applying the unscented transformation for approximately computing the smoothing gain in the optimal smoothing framework. Finally, the superior performance of the proposed smoother to the existing extended Kalman smoother (EKS) is demonstrated through a simulation example.
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