含未知参量的连续时间系统的Kalman-Bucy滤波

数学物理学报 ›› 1997, Vol. 17 ›› Issue (1): 95-98.

含未知参量的连续时间系统的Kalman-Bucy滤波

汪咬元

中科院武汉数学物理所

收稿日期:1995-03-18 修回日期:1995-09-05 出版日期:1997-02-26 发布日期:1997-02-26

Kalman-Bucy Filtering of Continuous-Time System with Unknown Parameter Vector

Wang Yaoyuan

Wuhan Inst. of Math. Sci., Academia Sinica

Received:1995-03-18 Revised:1995-09-05 Online:1997-02-26 Published:1997-02-26

摘要/Abstract

摘要： 该文讨论了含有未知参量的连续时间系统,得到了未知参量和系统状态的最小方差线性无偏估计的公式,使未知参量的辨识和系统状态的滤波同时进行.

关键词: 未知参量, 连续时间系统, Kalman-Bucy滤波

Abstract: In this paper we discuss the continuous-time linear system with the unknown parameter vector. We obtained the estimate formulas of the unknown parameter vector and the filtering formula of the system state. formulas obtained in this paper enable us to estimate the unknown parameter vector and the system state simultaneously, which was processed separately before our work.

Key words: Unknown parameter vector, continuous-time system, Kalman-Bucy filtering

汪咬元. 含未知参量的连续时间系统的Kalman-Bucy滤波[J]. 数学物理学报, 1997, 17(1): 95-98.

Wang Yaoyuan. Kalman-Bucy Filtering of Continuous-Time System with Unknown Parameter Vector[J]. Acta mathematica scientia,Series A, 1997, 17(1): 95-98.