Kalman Filtering Algorithm for Systems with Stochastic Nonlinearity Functions, Finite-Step Correlated Noises, and Missing Measurements

Abstract EN

The locally optimal filter is designed for a class of discrete-time systems subject to stochastic nonlinearity functions, finite-step correlated noises, and missing measurements.

The multiplicative noises are employed to describe the random disturbances in the system model.

The phenomena of missing measurements occur in a random way and the missing probability is characterized by Bernoulli distributed random variables with known conditional probabilities.

Based on the projection theory, a class of Kalman-type locally optimal filter is constructed and the filtering error covariance matrix is minimized in the sense of minimum mean square error principle.

Also, by solving the recursive matrix equation, we can obtain the filter gain.

Finally, two examples are provided: one is a numerical example to illustrate the feasibility and effectiveness of the proposed filtering scheme; the other is to solve the problem of target estimation for a tracking system considering networked phenomena.