2023-03-21T04:56:22Zhttps://ir.kagoshima-u.ac.jp/?action=repository_oaipmh
oai:ir.kagoshima-u.ac.jp:000011842022-10-20T04:27:29Z00041:00042
Recursive Least-Squares Wiener Fixed-Point Smoother with Uncertain Observations for Colored Observation Noise in Linear Discrete-Time Stochastic SystemsengUncertain observationsRLS Wiener fixed-point smootherConditional probabilityDiscrete-time stochastic systemshttp://hdl.handle.net/10232/26840Departmental Bulletin PaperNAKAMORI, SeiichiThis paper proposes recursive least-squares (RLS) Wiener fixed-point smoothing and filtering algorithms with uncertain observations for colored observation noise in linear discrete-time stochastic systems. The observation equation is given by y(k) = γ(k)z(k) + ｖ_c(k), z(k) = Hx(k), where {γ(k)} is a binary switching sequence with conditional probability, which satisfies (3). The estimators require the following information. (1) The system matrix φ for the state vector x(k). (2) The observation matrix H. (3) The variance K(k, k) of the state vector x(k). (4) The variance K_c(k, k) of the colored observation noise. (5) The system matrix φ_c for the colored observation noise ｖ_c(k). (6) The probability p(k) = P{γ(k) = 1} that the signal exists in the uncertain observation equation and the (2,2) element [P(kj)]_2,2 of the conditional probability of γ(k), given γ(j), 1 ≤ j < k.鹿児島大学教育学部研究紀要. 自然科学編 = Bulletin of the Faculty of Education, Kagoshima University. Natural science6793103896692AN00408518publisher417.8https://ir.kagoshima-u.ac.jp/?action=repository_action_common_download&item_id=1184&item_no=1&attribute_id=16&file_no=1鹿児島大学論文(Article)2016-10-27