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非线性非齐次Markov跳变系统的贝叶斯滤波

DOI: 10.3724/SP.J.1004.2012.00485, PP. 485-490

Keywords: 非线性非齐次Markov跳变系统,贝叶斯估计,参考概率空间,粒子逼近

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Abstract:

?针对具有时变不确定转移概率的非线性非齐次Markov跳变系统,提出一种贝叶斯状态估计方法.该方法首次采用带约束高斯概率密度函数来刻画转移概率的真实特性.然后,基于参考概率空间法,将实际的概率测度投影到理想概率空间,得出信息变量的递归表达式.同时,在贝叶斯框架内给出转移概率矩阵的最大后验估计式.进一步,采用粒子逼近法求解转移概率矩阵的最大后验估计,解决非线性函数的多重积分问题,进而获取状态估计值.最后,通过一个仿真示例表明该方法的有效性.

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