Optimum filtering and control of randomly sampled systems
Optimum filtering and control of randomly sampled systems
复制标题
随机采样系统的最佳过滤和控制
DOI：
10.1109/jacc.1967.4169038
复制
发表时间：
1967
影响因子：
6.8
通讯作者：
S. Chang
中科院分区：
文献类型：
--
作者：
S. Chang
卡尔曼最优滤波的概念被解释为这样一种方式，它可以应用于具有高斯或非高斯统计量的非线性和线性系统。其基本思想是分两个阶段合成广义卡尔曼滤波器：a)传播和b)测量与校正。每个阶段的分析都是相互独立的，一般结果很简单。在本文中，上述结果的应用仅限于线性系统：1)随机采样信号的最优滤波和插值；对于插值问题，假设信号在采样时刻被精确测量。2)相关连续和随机采样信号的最优滤波。基于二次代价准则的随机抽样线性系统最优控制。
Kalman's concept of optimum filtering is interpreted in such a way that it can be applied to both nonlinear and linear systems with Gaussian or non-Gaussian statistics. The essential idea is to synthesize a generalized Kalman filter in two stages, a) propagation and b) measurement and correction. The analysis of each stage is independent of the other, and the generalized results are quite simple. In the present paper, the application of the above result is confined to linear systems: 1) Optimum filtering and interpolation of randomly sampled signals; for the interpolation problem it is assumed that the signals are measured exactly at the sampling instant. 2) Optimum filtering of related continuous and randomly sampled signals. 3) Optimum control of randomly sampled linear systems with quadratic cost criterion.