摘要
本文通过最小二乘拟合方法,将最优估计问题转换成二次最优控制问题,然后用统一的方式导出Kalman-Bucy最优滤波器和Ranch-Tung-Striebel最优插值器等,同时还给出最优插值器的一种新形式。
The optimal estimation problem of the stochastic systems has been recast by means of the least square method as a deterministic optimal control problem with a quadratic performance index, and Kalman-Bucy Filter as well as Rauch-Tung-Striebel Smoother are formulated by use of a uniform approach. A new formula for optimal smoother is obtained in the derivation.
关键词
二次最优控制
滤波器
插值器
Quadratic optimal control, Kalman filter, Rauch smoother.
