引用本文: | 罗续成.协方差矩阵的对称分块表示及其应用[J].控制理论与应用,1987,4(4):25~33.[点击复制] |
Luo Xucheng.THE SYMMETRICAL PARTITIONING EXPRESSION OF A COVARIANCE MATRIX AND IT’S APPLICATION[J].Control Theory and Technology,1987,4(4):25~33.[点击复制] |
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协方差矩阵的对称分块表示及其应用 |
THE SYMMETRICAL PARTITIONING EXPRESSION OF A COVARIANCE MATRIX AND IT’S APPLICATION |
摘要点击 1912 全文点击 507 投稿时间:1985-12-09 修订日期:1986-07-10 |
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DOI编号 |
1987,4(4):25-33 |
中文关键词 |
英文关键词 |
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中文摘要 |
本文推导了协方差矩阵的对称分块表示法。作为这种表示法在控制工程中应用的实例,对B. Friedland的递推滤波中的常值偏差处理法,在一般时变偏差情况下,给出了解析证明。 |
英文摘要 |
The symmetrical partitioning expression of a covariance matrix is derived in this paper. The major result is: The submatrices D1, D2 and D3 of a covariance matrix
D=[D1, D2; D2T, D3]
must be satisfied by D2=SD3, D1= Dc+SD3ST.
This result was applied to prove analytically B. Friedland’s treatment of bias in recursive filtering in time-varying case. |
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