吉林大学学报(工学版) ›› 2004, Vol. ›› Issue (3): 433-438.

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Robust adaptive smoothing algorithm for nonlinear stochastic systems

AN Dexi, ZHOU Donghua   

  1. Department of Automation, Tsinghua University, Beijing 100084, China
  • Received:2004-02-12 Online:2004-07-01

Abstract: Considering a class of nonlinear stochastic systems with colored noises subject to unmodeled dynamics and disturbances, a robust adaptive smoothing algorithm was proposed. The algorithm can compensate such unmodeled dynamics and/or disturbances through online parameters identification and has strong robustness against unmodeled dynamics and disturbances. The optimal parameters, such as variances of state filtering errors and residuals, are determined by minimizing the variances of state smoothing errors and the covariance of the residuals at two adjacent times. The simulation results show the satisfying adaptive ability to track changes of time delay and parameter of a nonlinear stochastic system with colored noises.

Key words: auto matic control technology, colored noise, time delay estimation, parameter estimation, robust filtering, adaptive filtering

CLC Number: 

  • TP13
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