Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems

Seiichi Nakamori; Aurora Hermoso-Carazo; Josefa Linares-Perez

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Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems

机译：基于创新方法的线性离散时间随机系统中使用协方差信息的固定间隔平滑器设计

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This paper describes a design for a recursive least-squares Wiener fixed-interval smoother using the covariance information in linear discrete-time stochastic systems. The estimators require information from the observation matrix, the system matrix for the state variable, related to the signal, the variance of the state variable, the cross-variance function of the state variable with the observed value and the variance of the white observation noise. It is assumed that the signal is observed with additive white noise.

机译：本文介绍了一种使用线性离散时间随机系统中的协方差信息的递归最小二乘维纳固定间隔平滑器的设计。估计器需要观测矩阵，与信号相关的状态变量的系统矩阵，状态变量的方差，状态变量与观测值的交叉方差函数以及白色观测噪声的方差的信息。假定观察到的信号具有加性白噪声。

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来源
《Applied Mathematical Modelling》 |2006年第5期|p.406-417|共12页
作者
Seiichi Nakamori; Aurora Hermoso-Carazo; Josefa Linares-Perez;
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作者单位

Department of Technology, Faculty of Education, Kagoshima University, 1-20-6, Kohrimoto, Kagoshima 890-0065, Japan;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种 eng
中图分类应用数学;
关键词
wiener-hopf equation; linear discrete-time systems; linear stochastic systems; recursive wiener filter; covariance information; fixed-interval smoother;

机译：wiener-hopf方程;线性离散时间系统;线性随机系统;递归Wiener滤波器;协方差信息;固定间隔平滑器;

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专利

1. Design of fixed-lag smoother using covariance information based on innovations approach in linear discrete-time stochastic systems [J] . Nakamori S, Hermoso-Carazo A, Linares-Perez J Applied mathematics and computation . 2007,第1期

机译：基于创新方法的线性离散时间随机系统中使用协方差信息的固定滞后平滑器设计
2. Design of recursive Wiener fixed-point smoothers based on innovations approach in linear discrete-time stochastic systems [J] . Nakamori S, Caballero-Aguila R, Hermoso-Carazo A, Applied mathematics and computation . 2005,第3期

机译：基于创新方法的线性离散时间随机系统递归维纳定点平滑器设计
3. New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems [J] . Nakamori S. Applied mathematics and computation . 2003,第2a3期

机译：线性随机连续时间系统中使用协方差信息的固定间隔平滑器的新设计
4. Design of Quadratic Estimators using Covariance Information in Linear Discrete-Time Stochastic Systems [C] . Seiichi Nakamori, Aurora Hermoso-Carazo, Josefa Linares-Perez IFAC World Congress . 2008

机译：用线性离散时间随机系统中使用协方差信息的二次估计设计
5. An LMI approach to stochastic linear system design using alternating linearization. [D] . Han, JeongHeon. 2005

机译：使用交替线性化的LMI方法进行随机线性系统设计。
6. Design of an Optimal Preview Controller for Linear Discrete-Time Descriptor Noncausal Multirate Systems [O] . Mengjuan Cao, Fucheng Liao -1

机译：线性离散时间非因果多速率系统的最优预览控制器设计
7. Design of Recursive Wiener Fixed-Point Smoother based on Innovations Approach in Linear Discrete-Time Stochastic Systems [O] . NAKAMORI Seiichi 100

机译：基于线性离散随机系统创新方法的递归Wiener定点平滑器设计

Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems

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