Optimum deconvolution algorithm for system with multiplicative white noise and additive correlative noise

摘要

The Optimum state filter and fixed-intei-val smoother and the Optimum deconvolution algorithm for system with multiplicative noise are derived upon the condition that the dynamic noise correlates itself in one-step and correlates with the measurement noise at the present step as well as one past Step, and the multiplicative noise is white and statistically independent of the dynamie noise and the measurement noise. A Simulation example demonstrates the effectiveness of the above-mentioned deconvolution algorithm.