| 扩展Kalman滤波的理论研究及数值试验 |
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| 引用本文： | 吴祝慧.扩展Kalman滤波的理论研究及数值试验[J].金陵科技学院学报,2005,21(3):4-8. |
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| 作者姓名： | 吴祝慧 |
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| 作者单位： | 金陵科技学院,江苏,南京,210001 |
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| 摘 要： | 首先阐述了EKF（Extended Kalman Filter）的算法,然后对具有混沌和高度非线性的Lorenz（1960）系统进行了数值试验,并利用Monte Carlo方法对计算的协方差阵演变进行了检验.发现在一定的初始误差下,EKF方法对于非线性系统可以较好地计算系统方差协方差阵的演变,并且对系统状态进行有效的估计.
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| 关 键 词： | 扩展Kalman滤波 Monte Carlo方法 协方差阵 |
| 文章编号： | 1672-755X(2005)03-0004-05 |
| 修稿时间： | 2005年6月26日 |
Theoretical Study and Numerical Experiments of Extended Kalman Filter |
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| WU Zhu-hui.Theoretical Study and Numerical Experiments of Extended Kalman Filter[J].Journal of Jinling Institute of Technology,2005,21(3):4-8. |
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| Authors: | WU Zhu-hui |
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| Abstract: | The EKF (Extended Kalman Filter) arithmetic was described in this paper, and the numerical test was done to the strong nonlinear system Lorenz( 1960), which has the character of chaos. It was found that at the condition of definite initial error condition, the EKF method might preferably calculate the evolvement of the covariance matrix to the nonlinear system, and the system state was effectively estimated. |
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| Keywords: | extended Kalman filter Monte Carlo method covariance matrix |
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