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Analytical solution of discrete colored noise ECA tracking filter

机译:离散色噪声ECA跟踪滤波器的解析解

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New analytical solutions of steady-state Kalman gains are presented for a discrete-time tracking filter with correlation in both the measurement noise and the target maneuver. The measurement noise model is a first-order discrete Markov process characterized by a correlation coefficient /spl rho/. The target motion is examined for an exponentially correlated acceleration maneuver type in which the vehicle oscillation such as wind-induced-bending is also considered. The present solution method is based on factorizing the observed spectral density matrix /spl Psi/(z) in frequency domain. The algorithm proposed here gives the Kalman gain matrix directly. For a case when the steady-state error covariance matrix is desired, such gains can be incorporated with the algebraic Riccati equation.
机译:提出了一种离散时间跟踪滤波器的稳态卡尔曼增益的新解析解,该滤波器在测量噪声和目标机动方面均具有相关性。测量噪声模型是一阶离散马尔可夫过程,其特征在于相关系数/ spl rho /。检查目标运动是否为指数相关的加速机动类型,其中还考虑了车辆振动(例如风致弯曲)。本解决方案方法基于在频域中对观察到的频谱密度矩阵/ spl Psi /(z)进行分解。这里提出的算法直接给出了卡尔曼增益矩阵。对于需要稳态误差协方差矩阵的情况,可以将此类增益与代数Riccati方程合并。

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