Multiple Model Particle Filter with Correlated Measurement and Process Noise

摘要

Aiming at adverse influence of the correlation between measurement and process noise for filtering precision, a new multiple model particle filtering algorithm with correlated measurement noise and process noise is proposed. Firstly, multiple model particle filter is used as the basic framework realization of new algorithm, and the objective is to deal with the multi-mode problem in estimated system with less the calculated amount. Secondly, in order to avoid adverse influence from the correlation between measurement and process noise for filtering precision, the system model is modified by rearrange the state transition equation and measurement equation, and a novel decoupling method of correlated noise is given. Finally, experimental results show that the proposed method outperforms the general IMM-PF and MMPF when the measurement and process noise is with correlated characteristics.