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6—5 Kalman-Bucy滤波技术的讨论为了应用这一技术而作如下讨论: 1.Riccati方程解K(t)可以作为估计精度的度量我们已经证明极小方差估计在一定条件下可以演化为一个二次型性能指标极小,即其探索函数是(6-64),通过对偶逆系统,最佳估计问题演化为最佳控制问题。正如在最佳控制问题中极小的二次型性能指标J=X′(t_0)K(t)X(t_0)一样,在最佳估计问题中的极小二次型性能指标J=r′(t_1)K_c(t)b,也就是
6-5 Discussion of Kalman-Bucy Filtering Techniques In order to apply this technique we discuss the following: 1. Riccati Equation Solution K (t) can be used as a measure of estimation accuracy. We have shown that minimum variance estimation can evolve under certain conditions The quadratic performance index is very small, that is, its exploration function is (6-64). By using the dual inverse system, the best estimation problem evolves into the optimal control problem. Just as the minimal quadratic performance index J = X ’(t_0) K (t) X (t_0) in the optimal control problem, the minimum quadratic performance index J = r’ (t_1) K_c (t) b, that is