泊松采样卡尔曼滤波器的稳态分析

IF 2.5 3区 计算机科学 Q3 AUTOMATION & CONTROL SYSTEMS
Anubhab Dasgupta , Aneel Tanwani
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引用次数: 0

摘要

研究了具有泊松采样观测过程的连续时间线性随机系统的最优滤波问题。对于每一个采样观测过程的实现,后验分布是一个高斯过程,其均值和协方差用连续离散过程来描述。我们特别感兴趣的是分析估计误差的第一阶矩和第二阶矩对抽样过程的期望。利用可观察性和可控性等系统理论性质,给出了期望误差协方差收敛的平均抽样率、期望误差协方差的有界性和期望估计误差收敛于零的可处理条件。并与连续观测过程中Riccati微分方程的解作了比较。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Steady state analysis for Kalman filters with Poisson-sampled observations
We study optimal filtering for continuous-time linear stochastic systems with Poisson-sampled observation processes. For each realization of the sampled observation process, the posterior distribution is a Gaussian process whose mean and covariance are described by continuous-discrete process. We are particularly interested in analyzing the expectation of the first and second moment of the estimation error with respect to the sampling process. Using the system-theoretic properties like observability and controllability, our results provide tractable conditions on the mean sampling rate for convergence of the expected error covariance, its boundedness and convergence of expected estimation error to zero. Some comparisons are also drawn with the solution of Riccati differential equation associated with the continuous-observation process.
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来源期刊
Systems & Control Letters
Systems & Control Letters 工程技术-运筹学与管理科学
CiteScore
4.60
自引率
3.80%
发文量
144
审稿时长
6 months
期刊介绍: Founded in 1981 by two of the pre-eminent control theorists, Roger Brockett and Jan Willems, Systems & Control Letters is one of the leading journals in the field of control theory. The aim of the journal is to allow dissemination of relatively concise but highly original contributions whose high initial quality enables a relatively rapid review process. All aspects of the fields of systems and control are covered, especially mathematically-oriented and theoretical papers that have a clear relevance to engineering, physical and biological sciences, and even economics. Application-oriented papers with sophisticated and rigorous mathematical elements are also welcome.
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