Recursive Filter Design for Discrete-Time Systems with Sparsity Constraint and Correlated Noises
2023 13th International Conference on Information Science and Technology (ICIST)(2023)
摘要
This paper is concerned with the recursive filtering problem for the discrete-time linear systems with correlated noises and sparsity constraint. The process and measurement noises are one-step autocorrelated, two-step cross-correlated, respectively. Based on the Kalman filtering idea, an improved filtering algorithm with sparsity constraint is proposed. Com-pared with the classical Kalman filter, inversion calculation of the large-scale matrix sequence is avoided. In order to demonstrate the efficiency of the suggested filter design strategy, a simulation example is also provided.
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关键词
Kalman filter,discrete-time linear system,correlated noises,sparsity constraint
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