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传统Unscented卡尔曼滤波器(UKF)要求系统噪声和量测噪声必须是互不相关的.针对此局限性,研究了一类带相关噪声的非线性离散系统UKF设计方法.基于最小均方误差估计和正交变换,给出了噪声相关UKF滤波递推公式,并采用Unscented变换(UT)来计算系统状态的后验分布.所设计的UKF有效解决了传统UKF在噪声相关条件下非线性滤波失效的问题,拓展了UKF的应用范围.最后,仿真实例表明了所设计UKF的有效性.
The traditional unscented Kalman filter (UKF) requires that the system noise and the measurement noise must not be related to each other.In order to solve this limitation, a class of UKF design method for nonlinear discrete systems with correlated noise is studied. Based on the minimum mean square error estimation And orthogonal transform, the recursive formula of noise-related UKF filtering is given, and the unscented transform (UT) is used to calculate the posterior distribution of the system state. The designed UKF effectively solves the problem that the traditional UKF fails the nonlinear filtering under noise-related conditions Which expands the application range of UKF.Finally, the simulation example shows the validity of the designed UKF.