有色量测噪声下带广义未知扰动的递推上限滤波

For dealing with co-existence of colored noise and unknown interference when tracking the non-cooperative target with the high-speed sampling radar in gaming confrontation, a recursive upper bound filter for stochastic dynamic systems with generalized unknown disturbances in the presence of colored measurement noises is proposed. Here, the colored noise is utilized to depict the correlation at adjacent epochs caused by high-speed sampling or persistent perturbation, while the generalized unknown disturbance is adopted to model these abnormal effects without prior knowledge caused by gaming. By calculating the upper bound of the state estimate error covariance instead of the theoretical one via parameter optimization recursively, the upper bound filter with colored noises, abbreviated as CUBF, is proposed, and the corresponding achievable minimum upper bound filter with colored measurement noises is further put forward. Meanwhile, the existence condition of the proposed CUBF is also discussed. A target tracking example with time-varying unknown disturbances and colored measurement noises is simulated to validate the proposed method.