Аналитический синтез адаптивного фильтра Калмана на основе нерегулярных точных измерений

Abstract

The problem of creation of the adaptive discrete filter of Kallman with use of irregular exact measurements is analytically solved. The possibility of irregular exact measurements allows to determine precisely in a step of their emergence filter parameters (coefficient of strengthening and coefficients of his adaptation) providing a zero error of estimation. Similar reorganization of parameters of an algorithm of estimation sharply increases his convergence that is illustrated by the corresponding example.