UNIVERSAL ALGORITHM OF ADAPTIVE OPTIMAL-INVARIANT SIGNAL FILTERING

摘要

The algorithm of optimal-invariant adaptive signal filtering for models of interferences of measurement in the form of Markovian processes of kth order by an example of an complex system with the filter of a difference signal is offered. Demanded level of a priori determinancy concerning noise of measurement includes knowledge of approximate duration of intervals of a quasistationarity noise of measurement, sort of linear model of measurement, a variance of high-frequency noise and presence of a mutual noncorrelated of a signal and noise. The algorithm in the course of operation, besides optimal filtering of signals, evaluates quality of handling of signals and defines adapting time. In the presence of the information on correlative functions noise of measurement the algorithm ensures optimally-invariant filtering of Kalman 's signals without necessity of solution of the equation of Rikkati.