AN ADAPTIVE OPTIMAL KALMAN FILTER FOR STOCHASTIC VIBRATION CONTROL SYSTEM WITH UNKNOWN NOISE VARIANCES

摘要

In this paper,an optimal criterion is presented for adaptive Kalman filter in a control sys-tem with unknown variances of stochastic vibration by constructing a function of noise variances and mini-mizing the function.We solve the model and measure variances by using DFP optimal method to guaranteethe results of Kalman filter to be optimized.Finally,the control of vibration can be implemented by LQGmethod.