广义卡尔曼滤波均方误差最小性的研究

卡尔曼滤波方法是一种应用广泛的估值方法，但其在应用时，要求系统数学模型已知。而广义卡尔曼滤波在应用时不需要系统数学模型是已知的，具有广泛的适用性。在广义卡尔曼滤波方法的消息模型和测量模型的基础上，讨论了其滤波模型的均方误差最小性问题，即最优滤波器的选取问题。最后通过广义卡尔曼滤波与经典卡尔曼滤波仿真曲线的比较，验证了广义卡尔曼滤波的有效性。

The research of the minimum mean - square error of the generalized Kalman filter

The Kalman filter is widely used in many fields, but it depends on the given system model. The generalized Kalman filter is a method which is based on the unknown model system. Its significance is obvious. This paper, which is based on the signal model and measure model, described the minimum mean-square error of the generalized kalman filter, what is called the selection of the optimal filter. Lastly, the simulation curves were completed by the Kalman filter and the generalized Kalman filter .By the comparison of the curves , the effect of the generalized Kalman filter is evident.