【摘要】 针对带乘性噪声系统状态转移矩阵未知的情况,提出1种在线性最小方差意义下的系统参数和状态联合滤波算法。以迭代方式获得模型参数和系统状态的递推估计:首先,利用之前时刻的状态估计值,根据投影定理,对系统未知参数即系统状态转移矩阵作出估计;其次,利用已得到的系统参数估计值,获取当前时刻的状态滤波。计算机仿真结果表明了算法的有效性。更多还原

【Abstract】 In the sense of linear minimum-variance,this paper develops a corresponding recursive algorithm for stochastic linear systems with multiplicative noise whose transfer matrix is unknown.That is to say,estimations of parameters and states are obtained by the way of iteration.First,according to projection theorem,the system parameters are estimated by the using of the state estimation of previous moment.Then,based on the estimation of the system parameters,the optimal filtering of the current moment is obtained.Simulations are illustrated to show the validity of the algorithms.更多还原