多传感器观测下带乘性噪声的最优卡尔曼滤波

his paper deals with the optimal Kalman filter of multi-sensor system with multiplicative noise. In order to convert multiplicative noise into adding noise, how to compute covariance of random matrix is given. By converting multiplicative noise into adding noise, we can obtain directly optimal fusion estimate of multi-sensor system with multiplicative noise based on unified linear fusion model. The proposed algorithm can be applicable for robust Kalman filter of uncertain systems, and compared with similar ones, the algorithm has no restriction with uncertain structure and no parameters to be determined. Simulation results show the proposed filter performs better than the robust Kalman filter in [8] when the parameter uncertainty exists.