最优估计准则与方法(6)递推最小二乘估计(RLS)_学习笔记

发布于:2025-07-28 ⋅ 阅读:(193) ⋅ 点赞:(0)

前言

最优估计理论中研究的最小二乘估计(LS)为线性最小二乘估计(LLS),包括古典最小二乘估计(CLS)、加权最小二乘估计(WLS)[1]和递推最小二乘估计(RLS)。本文将详细介绍递推最小二乘估计(RLS)。

线性参数估计问题描述

这里重复文章[1]的相关描述。设 X X X为 n n n维未知参数向量, Z k Z_{k} Zk​为 k k k维观测向量,表示经过 k k k组实验观测得到的观测值向量,其中元素 z i z_{i} zi​表示第i次观测实验得到的观测值,显然其是1维观测标量, V k V_{k} Vk​为 k k k维观测噪声向量,其中元素 v i v_{i} vi​表示第i次观测实验的观测噪声,显然其是1维噪声标量。一般情况下 k > n k > n k>n且希望 k k k比 n n n大得多。单次观测值为多维的情况将在后文讨论。观测实验依据的自变量为 θ \theta θ,则将观测量 z i z_{i} zi​表示为关于 θ \theta θ的未知函数 f ( θ , X ) f(\theta,X) f(θ,X):
z i = f ( θ , X ) = ∑ j = 1 n [ x j h i , j ( θ ) ] + v i = x 1 h i , 1 ( θ ) + x 2 h i , 2 ( θ ) + ⋯ + x n h i , n ( θ ) + v i \begin{align*} z_{i} &= f(\theta,X) \\ &= \sum_{j=1}^{n} \left [ x_{j}h_{i,j}(\theta) \right ]+ v_{i} \\ &= x_{1}h_{i,1}(\theta)+ x_{2}h_{i,2}(\theta) + \cdots + x_{n}h_{i,n}(\theta) + v_{i} \tag{1} \\ \end{align*} zi​​=f(θ,X)=j=1∑n​[xj​hi,j​(θ)]+vi​=x1​hi,1​(θ)+x2​hi,2​(θ)+⋯+xn​hi,n​(θ)+vi​​(1)​
其中
X = [ x 1 x 2 ⋮ x n ] Z k = [ z 1 z 2 ⋮ z k ] V k = [ v 1 v 2 ⋮ v k ] \begin{align*} X = \begin{bmatrix} x_{1} \\ x_{2} \\ \vdots \\ x_{n} \end{bmatrix} Z_{k} = \begin{bmatrix} z_{1} \\ z_{2} \\ \vdots \\ z_{k} \end{bmatrix} V_{k} = \begin{bmatrix} v_{1} \\ v_{2} \\ \vdots \\ v_{k} \end{bmatrix} \end{align*} X= ​x1​x2​⋮xn​​ ​Zk​= ​z1​z2​⋮zk​​ ​Vk​= ​v1​v2​⋮vk​​ ​​
式(1)中 h i , j ( θ ) h_{i,j}(\theta) hi,j​(θ)表示第 i i i次观测第 j j j个基函数,常用为多项式、三角函数或自然指数函数形式:
h i , j ( θ ) = θ j − 1 h i , j ( θ ) = s i n ( j θ ) h i , j ( θ ) = e x p ( λ j θ ) \begin{align*} h_{i,j}(\theta) &= \theta ^{j-1} \\ h_{i,j}(\theta) &= sin(j\theta) \\ h_{i,j}(\theta) &= exp(\lambda_{j} \theta) \\ \end{align*} hi,j​(θ)hi,j​(θ)hi,j​(θ)​=θj−1=sin(jθ)=exp(λj​θ)​
其中, λ j \lambda_{j} λj​为自然数指数参数。
当观测实验进行,上述基函数均可根据 θ \theta θ求得。令 h i = [ h i , 1 ( θ ) h i , 2 ( θ ) ⋯ h i , n ( θ ) ] h_{i} = \begin{bmatrix} h_{i,1}(\theta) & h_{i,2}(\theta) & \cdots & h_{i,n}(\theta) \\ \end{bmatrix} hi​=[hi,1​(θ)​hi,2​(θ)​⋯​hi,n​(θ)​]且为已知,其为 n n n维常向量,将式(1)改写为:
Z k = H k X + V k \begin{align*} Z_{k}= H_{k}X+ V_{k} \tag{2} \\ \end{align*} Zk​=Hk​X+Vk​​(2)​
其中, H H H为参数向量 X X X到观测向量 Z Z Z的 k × n k \times n k×n维转移矩阵:
H = [ h 1 h 2 ⋮ h k ] = [ h 1 , 1 ( θ ) h 1 , 2 ( θ ) ⋯ h 1 , n ( θ ) h 2 , 1 ( θ ) h 2 , 2 ( θ ) ⋯ h 2 , n ( θ ) ⋮ ⋮ ⋱ ⋮ h k , 1 ( θ ) h k , 2 ( θ ) ⋯ h k , n ( θ ) ] \begin{align*} H = \begin{bmatrix} h_{1} \\ h_{2} \\ \vdots \\ h_{k} \end{bmatrix} = \begin{bmatrix} h_{1,1}(\theta) & h_{1,2}(\theta) & \cdots & h_{1,n}(\theta) \\ h_{2,1}(\theta) & h_{2,2}(\theta) & \cdots & h_{2,n}(\theta) \\ \vdots & \vdots & \ddots & \vdots\\ h_{k,1}(\theta) & h_{k,2}(\theta) & \cdots & h_{k,n}(\theta) \end{bmatrix} \\ \end{align*} H= ​h1​h2​⋮hk​​ ​= ​h1,1​(θ)h2,1​(θ)⋮hk,1​(θ)​h1,2​(θ)h2,2​(θ)⋮hk,2​(θ)​⋯⋯⋱⋯​h1,n​(θ)h2,n​(θ)⋮hk,n​(θ)​ ​​
显然,观测向量 Z Z Z与被估参数向量 X X X存在线性关系,依据最优准则求对 X X X的估计值 X ^ \hat{X} X^是一个线性参数估计问题,自然对应线性最小二乘估计(LLS)。

这里讨论下超定方程组的矛盾:当 k = n k = n k=n时,线性方程组有唯一精确解,但当 k > n k > n k>n,线性方程数大于未知被估参数向量的维度,线性方程组变成线性超定方程组,其解不唯一。最小二乘法的思想是需求统计意义上的近似解,使线性超定方程组中各方程能得到近似相等。

递推最小二乘估计(Recursive Least Squares Estimation, RLSE)

递推最小二乘估计(RLS) 没有在估计准则方面有新的提法,而是用新的观测信息修正现有估计值计算出新的估计值,实现最小二乘法的递推更新与校正。相比最小二乘估计和加权最小二乘估计的批量处理方法,借助递推滤波的思想,可以在计算空间上有显著的提高[2]。

以加权最小二乘估计中的最优加权估计为例,阐述递推实现过程。
估计准则为:加权残差平方和最小。根据式(3)代价函数改写如下:
J = E k ^ T W E k ^ = ( Z k − H k X k ^ ) T W k ( Z k − H X k ^ ) = ∑ i = 1 k w i e ^ i 2 = ∑ i = 1 k w i ( z i − h i X k ^ ) 2 = m i n \begin{align*} J = \hat{E_{k}}^{T}W\hat{E_{k}} &= (Z_{k}-H_{k}\hat{X_{k}})^{T}W_{k}(Z_{k}-H\hat{X_{k}}) = \sum_{i=1}^{k} w_{i}\hat{e}_{i}^{2} = \sum_{i=1}^{k}w_{i}(z_{i}-h_{i}\hat{X_{k}})^{2}=min \tag{3} \\ \end{align*} J=Ek​^​TWEk​^​​=(Zk​−Hk​Xk​^​)TWk​(Zk​−HXk​^​)=i=1∑k​wi​e^i2​=i=1∑k​wi​(zi​−hi​Xk​^​)2=min​(3)​
其中, e ^ i \hat{e}_{i} e^i​为第 i i i次观测的残差(Residual Error), E ^ k \hat{E}_{k} E^k​为 k k k维残差向量有:
e ^ i = z i − h i X ^ k E ^ k = Z k − H k X ^ = [ e ^ 1 e ^ 2 ⋮ e ^ k ] \begin{align*} \hat{e}_{i} &= z_{i}-h_{i}\hat{X}_{k} \\ \hat{E}_{k} &= Z_{k}-H_{k}\hat{X} = \begin{bmatrix} \hat{e}_{1} \\ \hat{e}_{2} \\ \vdots \\ \hat{e}_{k} \end{bmatrix} \\ \end{align*} e^i​E^k​​=zi​−hi​X^k​=Zk​−Hk​X^= ​e^1​e^2​⋮e^k​​ ​​
观测噪声向量 V V V为白噪声,即 E [ V ] = 0 E[V] = 0 E[V]=0且方差矩阵为 R k R_{k} Rk​:
R k = [ σ 1 2 0 ⋯ 0 0 σ 2 2 ⋯ 0 ⋮ ⋮ ⋱ ⋮ 0 0 ⋯ σ k 2 ] \begin{align*} R_{k} &= \begin{bmatrix} \sigma_{1}^{2} & 0& \cdots& 0\\ 0& \sigma_{2}^{2} & \cdots& 0 \\ \vdots& \vdots& \ddots & \vdots\\ 0& 0& \cdots& \sigma_{k}^{2} \end{bmatrix} \\ \end{align*} Rk​​= ​σ12​0⋮0​0σ22​⋮0​⋯⋯⋱⋯​00⋮σk2​​ ​​
W k W_{k} Wk​为 k × k k\times k k×k阶对称正定加权矩阵,取 W k = R − 1 W_{k}=R^{-1} Wk​=R−1时,加权最小二乘估计为最优加权最小二乘估计,也称马尔可夫(Markov)估计,是没有初始值条件下的线性最小方差无偏估计[1]。
W k = [ w 1 0 ⋯ 0 0 w 2 ⋯ 0 ⋮ ⋮ ⋱ ⋮ 0 0 ⋯ w k ] = [ 1 σ 1 2 0 ⋯ 0 0 1 σ 2 2 ⋯ 0 ⋮ ⋮ ⋱ ⋮ 0 0 ⋯ 1 σ n 2 ] \begin{align*} W_{k} &= \begin{bmatrix} w_{1} & 0& \cdots& 0\\ 0& w_{2} & \cdots& 0 \\ \vdots& \vdots& \ddots & \vdots\\ 0& 0& \cdots& w_{k} \end{bmatrix} = \begin{bmatrix} \frac{1}{\sigma_{1}^{2}} & 0& \cdots& 0\\ 0& \frac{1}{\sigma_{2}^{2}} & \cdots& 0 \\ \vdots& \vdots& \ddots & \vdots\\ 0& 0& \cdots& \frac{1}{\sigma_{n}^{2}} \end{bmatrix} \end{align*} Wk​​= ​w1​0⋮0​0w2​⋮0​⋯⋯⋱⋯​00⋮wk​​ ​= ​σ12​1​0⋮0​0σ22​1​⋮0​⋯⋯⋱⋯​00⋮σn2​1​​ ​​
其估计向量 X ^ k \hat{X}_{k} X^k​为:
X ^ k = ( H k T W k H k ) − 1 H k T W k Z k = ( H k T R k − 1 H k ) − 1 H k T R k − 1 Z k \begin{align*} \hat{X}_{k} &= (H_{k}^{T}W_{k}H_{k})^{-1}H_{k}^{T}W_{k}Z_{k} \tag{4} \\ &= (H_{k}^{T}R_{k}^{-1}H_{k})^{-1}H_{k}^{T}R_{k}^{-1}Z_{k} \tag{5} \\ \end{align*} X^k​​=(HkT​Wk​Hk​)−1HkT​Wk​Zk​=(HkT​Rk−1​Hk​)−1HkT​Rk−1​Zk​​(4)(5)​
在处理 k k k个观测值之后,又得到第 k + 1 k+1 k+1次观测值 z k + 1 z_{k+1} zk+1​:
z k + 1 = ∑ j = 1 n [ x j h k + 1 , j ( θ ) ] + v k + 1 = x 1 h k + 1 , 1 ( θ ) + x 2 h k + 1 , 2 ( θ ) + ⋯ + x n h k + 1 , n ( θ ) + v k + 1 = h k + 1 X + v k + 1 \begin{align*} z_{k+1} &= \sum_{j=1}^{n} \left [ x_{j}h_{k+1,j}(\theta) \right ]+ v_{k+1} \\ &= x_{1}h_{k+1,1}(\theta)+ x_{2}h_{k+1,2}(\theta) + \cdots + x_{n}h_{k+1,n}(\theta) + v_{k+1} \\ &= h_{k+1}X+ v_{k+1} \tag{6} \\ \end{align*} zk+1​​=j=1∑n​[xj​hk+1,j​(θ)]+vk+1​=x1​hk+1,1​(θ)+x2​hk+1,2​(θ)+⋯+xn​hk+1,n​(θ)+vk+1​=hk+1​X+vk+1​​(6)​
其中,令 h k + 1 = [ h k + 1 , 1 ( θ ) h k + 1 , 2 ( θ ) ⋯ h k + 1 , n ( θ ) ] h_{k+1} = \begin{bmatrix} h_{k+1,1}(\theta) & h_{k+1,2}(\theta) & \cdots & h_{k+1,n}(\theta) \\ \end{bmatrix} hk+1​=[hk+1,1​(θ)​hk+1,2​(θ)​⋯​hk+1,n​(θ)​]
将式(2)与(5)合并,得
Z k + 1 = H k + 1 X + V k + 1 \begin{align*} Z_{k+1}= H_{k+1}X+ V_{k+1} \tag{7} \\ \end{align*} Zk+1​=Hk+1​X+Vk+1​​(7)​
其中
Z k + 1 = [ Z k z k + 1 ] H k + 1 = [ H k h k + 1 ] V k + 1 = [ V k v k + 1 ] \begin{align*} Z_{k+1} &= \begin{bmatrix} Z_{k} \\ z_{k+1} \end{bmatrix} H_{k+1}= \begin{bmatrix} H _{k} \\ h_{k+1} \end{bmatrix} V_{k+1}= \begin{bmatrix} V _{k} \\ v_{k+1} \end{bmatrix} \end{align*} Zk+1​​=[Zk​zk+1​​]Hk+1​=[Hk​hk+1​​]Vk+1​=[Vk​vk+1​​]​
由于加权矩阵 W k + 1 W_{k+1} Wk+1​对称正定矩阵,则
W k + 1 = [ W k 0 0 w k + 1 ] \begin{align*} W_{k+1} &= \begin{bmatrix} W_{k}& 0 \\ 0& w_{k+1} \\ \end{bmatrix} \tag{8} \\ \end{align*} Wk+1​​=[Wk​0​0wk+1​​]​(8)​
得到估计向量 X ^ \hat{X} X^为:
X ^ k + 1 = ( H k + 1 T W k + 1 H k + 1 ) − 1 H k + 1 T W k + 1 Z k + 1 \begin{align*} \hat{X}_{k+1} &= (H_{k+1}^{T}W_{k+1}H_{k+1})^{-1}H_{k+1}^{T}W_{k+1}Z_{k+1} \tag{9} \\ \end{align*} X^k+1​​=(Hk+1T​Wk+1​Hk+1​)−1Hk+1T​Wk+1​Zk+1​​(9)​
( H k + 1 T W k + 1 H k + 1 ) − 1 = [ [ H k h k + 1 ] T [ W k 0 0 w k + 1 ] [ H k h k + 1 ] ] − 1 = ( H k T W k H k + h k + 1 T w k + 1 h k + 1 ) − 1 \begin{align*} (H_{k+1}^{T}W_{k+1}H_{k+1})^{-1} &= \left [ \begin{bmatrix} H_{k} &h_{k+1} \end{bmatrix}^{T} \begin{bmatrix} W_{k}& 0 \\ 0& w_{k+1} \\ \end{bmatrix} \begin{bmatrix} H_{k} &h_{k+1} \end{bmatrix} \right ]^{-1} \\ &= \left ( H_{k}^{T}W_{k}H_{k} + h_{k+1}^{T}w_{k+1}h_{k+1} \right )^{-1} \tag{10} \end{align*} (Hk+1T​Wk+1​Hk+1​)−1​=[[Hk​​hk+1​​]T[Wk​0​0wk+1​​][Hk​​hk+1​​]]−1=(HkT​Wk​Hk​+hk+1T​wk+1​hk+1​)−1​(10)​
令
P k = ( H k T W k H k ) − 1 P k − 1 = H k T W k H k P k + 1 = ( H k + 1 T W k + 1 H k + 1 ) − 1 = ( H k T W k H k + h k + 1 T w k + 1 h k + 1 ) − 1 = ( P k − 1 + h k + 1 T w k + 1 h k + 1 ) − 1 P k + 1 − 1 = P k − 1 + h k + 1 T w k + 1 h k + 1 \begin{align*} P_{k} &= (H_{k}^{T}W_{k}H_{k})^{-1} \tag{11} \\ P_{k}^{-1} &= H_{k}^{T}W_{k}H_{k} \tag{12} \\ P_{k+1} &= (H_{k+1}^{T}W_{k+1}H_{k+1})^{-1} \\ &= ( H_{k}^{T}W_{k}H_{k} + h_{k+1}^{T}w_{k+1}h_{k+1} )^{-1} \\ &= (P_{k}^{-1} + h_{k+1}^{T}w_{k+1}h_{k+1} )^{-1} \tag{13} \\ P_{k+1}^{-1} &= P_{k}^{-1} + h_{k+1}^{T}w_{k+1}h_{k+1} \tag{14} \\ \end{align*} Pk​Pk−1​Pk+1​Pk+1−1​​=(HkT​Wk​Hk​)−1=HkT​Wk​Hk​=(Hk+1T​Wk+1​Hk+1​)−1=(HkT​Wk​Hk​+hk+1T​wk+1​hk+1​)−1=(Pk−1​+hk+1T​wk+1​hk+1​)−1=Pk−1​+hk+1T​wk+1​hk+1​​(11)(12)(13)(14)​
根据矩阵求逆引理,得
P k + 1 = P k − P k h k + 1 T ( h k + 1 P k h k + 1 T + w k + 1 − 1 ) − 1 h k + 1 P k \begin{align*} P_{k+1} &= P_{k} - P_{k}h_{k+1}^{T} (h_{k+1}P_{k}h_{k+1}^{T} + w_{k+1}^{-1})^{-1} h_{k+1}P_{k} \tag{15} \\ \end{align*} Pk+1​​=Pk​−Pk​hk+1T​(hk+1​Pk​hk+1T​+wk+1−1​)−1hk+1​Pk​​(15)​
由式(4)(9)(12)(14),得出估计递推公式:
X ^ k + 1 = P k + 1 H k + 1 T W k + 1 Z k + 1 = P k + 1 ( H k T W k Z k + h k + 1 T w k + 1 z k + 1 ) = P k + 1 ( P k − 1 X ^ k + h k + 1 T w k + 1 z k + 1 ) = P k + 1 ( ( P k + 1 − 1 − h k + 1 T w k + 1 h k + 1 ) X ^ k + h k + 1 T w k + 1 z k + 1 ) = X ^ k + P k + 1 h k + 1 T w k + 1 ( z k + 1 − h k + 1 X ^ k ) = X ^ k + K k + 1 ( z k + 1 − h k + 1 X ^ k ) \begin{align*} \hat{X}_{k+1} &= P_{k+1}H_{k+1}^{T}W_{k+1}Z_{k+1} \\ &= P_{k+1}(H_{k}^{T}W_{k}Z_{k} + h_{k+1}^{T}w_{k+1}z_{k+1} ) \\ &= P_{k+1}(P_{k}^{-1} \hat{X}_{k} + h_{k+1}^{T}w_{k+1}z_{k+1} ) \\ &= P_{k+1}((P_{k+1}^{-1}-h_{k+1}^{T}w_{k+1}h_{k+1}) \hat{X}_{k} + h_{k+1}^{T}w_{k+1}z_{k+1} ) \\ &= \hat{X}_{k} + P_{k+1}h_{k+1}^{T}w_{k+1} (z_{k+1} - h_{k+1} \hat{X}_{k}) \\ &= \hat{X}_{k} + K_{k+1} (z_{k+1} - h_{k+1} \hat{X}_{k}) \tag{16} \\ \end{align*} X^k+1​​=Pk+1​Hk+1T​Wk+1​Zk+1​=Pk+1​(HkT​Wk​Zk​+hk+1T​wk+1​zk+1​)=Pk+1​(Pk−1​X^k​+hk+1T​wk+1​zk+1​)=Pk+1​((Pk+1−1​−hk+1T​wk+1​hk+1​)X^k​+hk+1T​wk+1​zk+1​)=X^k​+Pk+1​hk+1T​wk+1​(zk+1​−hk+1​X^k​)=X^k​+Kk+1​(zk+1​−hk+1​X^k​)​(16)​
其中, K k + 1 K _{k+1} Kk+1​为递推增益
K k + 1 = P k + 1 h k + 1 T w k + 1 \begin{align*} K_{k+1} &= P_{k+1}h_{k+1}^{T}w_{k+1} \tag{17} \\ \end{align*} Kk+1​​=Pk+1​hk+1T​wk+1​​(17)​
对于加权最小二乘估计,式(15)(16)(17)即为其递推最小二乘估计(RLS)的递推公式:
P k + 1 = P k − P k h k + 1 T ( h k + 1 P k h k + 1 T + w k + 1 − 1 ) − 1 h k + 1 P k K k + 1 = P k + 1 h k + 1 T w k + 1 X ^ k + 1 = X ^ k + K k + 1 ( z k + 1 − h k + 1 X ^ k ) \begin{align*} P_{k+1} &= P_{k} - P_{k}h_{k+1}^{T} (h_{k+1}P_{k}h_{k+1}^{T} + w_{k+1}^{-1})^{-1} h_{k+1}P_{k} \tag{15} \\ K_{k+1} &= P_{k+1}h_{k+1}^{T}w_{k+1} \tag{17} \\ \hat{X}_{k+1} &= \hat{X}_{k} + K_{k+1} (z_{k+1} - h_{k+1} \hat{X}_{k}) \tag{16} \\ \end{align*} Pk+1​Kk+1​X^k+1​​=Pk​−Pk​hk+1T​(hk+1​Pk​hk+1T​+wk+1−1​)−1hk+1​Pk​=Pk+1​hk+1T​wk+1​=X^k​+Kk+1​(zk+1​−hk+1​X^k​)​(15)(17)(16)​
对于最优加权最小二乘估计,将 w k + 1 = r k + 1 − 1 w_{k+1}=r_{k+1}^{-1} wk+1​=rk+1−1​代入上式, r k + 1 − 1 r_{k+1}^{-1} rk+1−1​为第 k + 1 k+1 k+1次观测噪声 v k + 1 v_{k+1} vk+1​的方差,到其递推最小二乘估计(RLS)的递推公式:
P k + 1 = P k − P k h k + 1 T ( h k + 1 P k h k + 1 T + r k + 1 ) − 1 h k + 1 P k K k + 1 = P k + 1 h k + 1 T r k + 1 − 1 X ^ k + 1 = X ^ k + K k + 1 ( z k + 1 − h k + 1 X ^ k ) \begin{align*} P_{k+1} &= P_{k} - P_{k}h_{k+1}^{T} (h_{k+1}P_{k}h_{k+1}^{T} + r_{k+1})^{-1} h_{k+1}P_{k} \tag{18} \\ K_{k+1} &= P_{k+1}h_{k+1}^{T}r_{k+1}^{-1} \tag{19} \\ \hat{X}_{k+1} &= \hat{X}_{k} + K_{k+1} (z_{k+1} - h_{k+1} \hat{X}_{k}) \tag{16}\\ \end{align*} Pk+1​Kk+1​X^k+1​​=Pk​−Pk​hk+1T​(hk+1​Pk​hk+1T​+rk+1​)−1hk+1​Pk​=Pk+1​hk+1T​rk+1−1​=X^k​+Kk+1​(zk+1​−hk+1​X^k​)​(18)(19)(16)​
关于初值 X ^ 0 \hat{X}_{0} X^0​与 P 0 P_{0} P0​有两种方法确定[2]:

  1. 批量计算前n次观测实验数据得到;
  2. 假设 X ^ 0 = 0 \hat{X}_{0}=0 X^0​=0与 P 0 = C T C I P_{0}=C^{T}CI P0​=CTCI, C C C为一个充分大的正数。
    后者比前者不需要计算 n × n n \times n n×n阶逆矩阵,但是要经过一定次数迭代后才能得到满意估计。

多维观测

假设第 i i i组实验的观测值 Z i Z_{i} Zi​为 m m m维观测向量,对应的观测噪声 V i V_{i} Vi​为 m m m维观测向量,观测转移矩阵 H i H_{i} Hi​为 m × n m \times n m×n阶矩阵,有:
Z i = [ z i , 1 z i , 2 ⋮ z i , m ] , V i = [ v i , 1 v i , 2 ⋮ v i , m ] , V a r ( V i ) = R i , H i = [ h i , 1 , 1 ( θ ) h i , 1 , 2 ( θ ) ⋯ h i , 1 , n ( θ ) h i , 2 , 1 ( θ ) h i , 2 , 2 ( θ ) ⋯ h i , 2 , n ( θ ) ⋮ ⋮ ⋱ ⋮ h m , 2 , 1 ( θ ) h m , 2 , 2 ( θ ) ⋯ h m , 2 , n ( θ ) ] \begin{align*} Z_{i} &= \begin{bmatrix} z_{i,1} \\ z_{i,2} \\ \vdots\\ z_{i,m} \end{bmatrix} ,V_{i} = \begin{bmatrix} v_{i,1} \\ v_{i,2} \\ \vdots\\ v_{i,m} \end{bmatrix}, Var(V_i) = R_{i}, H_{i} = \begin{bmatrix} h_{i,1,1}(\theta)& h_{i,1,2}(\theta)& \cdots& h_{i,1,n}(\theta) \\ h_{i,2,1}(\theta)& h_{i,2,2}(\theta)& \cdots& h_{i,2,n}(\theta) \\ \vdots & \vdots& \ddots& \vdots\\ h_{m,2,1}(\theta)& h_{m,2,2}(\theta)& \cdots& h_{m,2,n}(\theta) \end{bmatrix} \end{align*} Zi​​= ​zi,1​zi,2​⋮zi,m​​ ​,Vi​= ​vi,1​vi,2​⋮vi,m​​ ​,Var(Vi​)=Ri​,Hi​= ​hi,1,1​(θ)hi,2,1​(θ)⋮hm,2,1​(θ)​hi,1,2​(θ)hi,2,2​(θ)⋮hm,2,2​(θ)​⋯⋯⋱⋯​hi,1,n​(θ)hi,2,n​(θ)⋮hm,2,n​(θ)​ ​​
对于第 i i i组实验,观测值向量为:
Z i = H i X + V i \begin{align*} Z_{i} = H_{i}X+V_{i} \tag{20} \end{align*} Zi​=Hi​X+Vi​​(20)​
对于全部 k k k组实验,观测值向量为:
Z ˉ k = H ˉ k X + V ˉ k (21) \bar{Z}_{k} = \bar{H}_{k}X + \bar{V}_{k} \tag{21} Zˉk​=Hˉk​X+Vˉk​(21)
其中
Z ˉ k = [ Z 1 Z 2 ⋮ Z k ] , H ˉ k = [ H 1 H 2 ⋮ H k ] , V ˉ k = [ V 1 V 2 ⋮ V k ] \begin{align*} \bar{Z}_{k} &= \begin{bmatrix} Z_{1} \\ Z_{2} \\ \vdots\\ Z_{k} \end{bmatrix} , \bar{H}_{k} &= \begin{bmatrix} H_{1} \\ H_{2} \\ \vdots\\ H_{k} \end{bmatrix} , \bar{V}_{k} &= \begin{bmatrix} V_{1} \\ V_{2} \\ \vdots\\ V_{k} \end{bmatrix} \end{align*} Zˉk​​= ​Z1​Z2​⋮Zk​​ ​,Hˉk​​= ​H1​H2​⋮Hk​​ ​,Vˉk​​= ​V1​V2​⋮Vk​​ ​​
根据加权最小二乘估计(WLS)准则:加权残差平方和最小。其代价函数为:
J = ( Z ˉ k − H ˉ k X ^ ) T W ˉ k ( Z ˉ k − H ˉ k X ^ ) \begin{align*} J &= (\bar{Z}_{k} - \bar{H}_{k} \hat{X})^{T} \bar{W}_{k} (\bar{Z}_{k} - \bar{H}_{k} \hat{X}) \tag{22} \end{align*} J​=(Zˉk​−Hˉk​X^)TWˉk​(Zˉk​−Hˉk​X^)​(22)​
式中, W ˉ k \bar{W}_{k} Wˉk​为对称正定加权矩阵。
可得估计值向量 X ^ k \hat{X}_{k} X^k​为:
X ^ k = ( H ˉ k T W ˉ k H ˉ k ) − 1 H ˉ k T W ˉ k Z ˉ k \begin{align*} \hat{X}_{k} &= (\bar{H}_{k}^{T} \bar{W}_{k} \bar{H}_{k} ) ^{-1} \bar{H}_{k}^{T}\bar{W}_{k} \bar{Z}_{k} \tag{23} \end{align*} X^k​​=(HˉkT​Wˉk​Hˉk​)−1HˉkT​Wˉk​Zˉk​​(23)​
现得到第 k + 1 k+1 k+1次观测值为:
Z k + 1 = H k + 1 X + V k + 1 \begin{align*} Z_{k+1} = H_{k+1}X + V_{k+1} \tag{24} \end{align*} Zk+1​=Hk+1​X+Vk+1​​(24)​
设第 k + 1 k+1 k+1次加权矩阵为:
W ˉ k + 1 = [ W ˉ k 0 0 W k + 1 ] \begin{align*} \bar{W}_{k+1} &= \begin{bmatrix} \bar{W}_{k}& 0 \\ 0& W_{k+1} \\ \end{bmatrix} \end{align*} Wˉk+1​​=[Wˉk​0​0Wk+1​​]​
根据式(11)(12)(13)(14),得
P ˉ k = ( H ˉ k T W ˉ k H ˉ k ) − 1 P ˉ k − 1 = H ˉ k T W ˉ k H ˉ k P ˉ k + 1 = ( P ˉ k − 1 + H k + 1 T W k + 1 H k + 1 ) − 1 P ˉ k + 1 − 1 = P ˉ k − 1 + H k + 1 T W k + 1 H k + 1 \begin{align*} \bar{P}_{k} &= (\bar{H}_{k}^{T}\bar{W}_{k}\bar{H}_{k})^{-1} \tag{25} \\ \bar{P}_{k}^{-1} &= \bar{H}_{k}^{T}\bar{W}_{k}\bar{H}_{k} \tag{26} \\ \bar{P}_{k+1} &= (\bar{P}_{k}^{-1} + H_{k+1}^{T}W_{k+1}H_{k+1} )^{-1} \tag{27} \\ \bar{P}_{k+1}^{-1} &= \bar{P}_{k}^{-1} + H_{k+1}^{T}W_{k+1}H_{k+1} \tag{28} \\ \end{align*} Pˉk​Pˉk−1​Pˉk+1​Pˉk+1−1​​=(HˉkT​Wˉk​Hˉk​)−1=HˉkT​Wˉk​Hˉk​=(Pˉk−1​+Hk+1T​Wk+1​Hk+1​)−1=Pˉk−1​+Hk+1T​Wk+1​Hk+1​​(25)(26)(27)(28)​
根据式(15)(16)(17),其加权最小二乘估计的递推最小二乘估计(RLS)的递推公式:
P ˉ k + 1 = P ˉ k − P ˉ k H k + 1 T ( H k + 1 P ˉ k H k + 1 T + W k + 1 − 1 ) − 1 H k + 1 P ˉ k K k + 1 = P ˉ k + 1 H k + 1 T W k + 1 X ^ k + 1 = X ^ k + K k + 1 ( Z k + 1 − H k + 1 X ^ k ) \begin{align*} \bar{P}_{k+1} &= \bar{P}_{k} - \bar{P}_{k}H_{k+1}^{T} (H_{k+1}\bar{P}_{k}H_{k+1}^{T} + W_{k+1}^{-1})^{-1} H_{k+1}\bar{P}_{k} \tag{29} \\ K_{k+1} &= \bar{P}_{k+1}H_{k+1}^{T}W_{k+1} \tag{30} \\ \hat{X}_{k+1} &= \hat{X}_{k} + K_{k+1} (Z_{k+1} - H_{k+1} \hat{X}_{k}) \tag{31} \\ \end{align*} Pˉk+1​Kk+1​X^k+1​​=Pˉk​−Pˉk​Hk+1T​(Hk+1​Pˉk​Hk+1T​+Wk+1−1​)−1Hk+1​Pˉk​=Pˉk+1​Hk+1T​Wk+1​=X^k​+Kk+1​(Zk+1​−Hk+1​X^k​)​(29)(30)(31)​
如果取加权矩阵:
W ˉ k = R ˉ k − 1 = [ R 1 0 ⋯ 0 0 R 2 ⋯ 0 ⋮ ⋮ ⋱ ⋮ 0 0 ⋯ R k ] W k + 1 = R k + 1 − 1 = V a r ( V k + 1 ) W ˉ k + 1 = [ W ˉ k 0 0 W k + 1 ] = [ R ˉ k − 1 0 0 R k + 1 − 1 ] \begin{align*} \bar{W}_{k} &= \bar{R}_{k}^{-1} = \begin{bmatrix} R_{1}& 0& \cdots& 0 \\ 0& R_{2}& \cdots& 0 \\ \vdots& \vdots& \ddots& \vdots \\ 0& 0& \cdots& R_{k} \\ \end{bmatrix} \tag{32} \\ W_{k+1} &= R_{k+1}^{-1} = Var(V_{k+1}) \tag{33} \\ \bar{W}_{k+1} &= \begin{bmatrix} \bar{W}_{k}& 0 \\ 0& W_{k+1} \\ \end{bmatrix} = \begin{bmatrix} \bar{R}_{k}^{-1}& 0 \\ 0& R_{k+1}^{-1} \\ \end{bmatrix} \tag{34} \end{align*} Wˉk​Wk+1​Wˉk+1​​=Rˉk−1​= ​R1​0⋮0​0R2​⋮0​⋯⋯⋱⋯​00⋮Rk​​ ​=Rk+1−1​=Var(Vk+1​)=[Wˉk​0​0Wk+1​​]=[Rˉk−1​0​0Rk+1−1​​]​(32)(33)(34)​
根据式(29-34),其最优加权最小二乘估计的递推最小二乘估计(RLS)递推公式:
P ˉ k + 1 = P ˉ k − P ˉ k H k + 1 T ( H k + 1 P ˉ k H k + 1 T + R k + 1 ) − 1 H k + 1 P ˉ k K k + 1 = P ˉ k + 1 H k + 1 T R k + 1 − 1 X ^ k + 1 = X ^ k + K k + 1 ( Z k + 1 − H k + 1 X ^ k ) \begin{align*} \bar{P}_{k+1} &= \bar{P}_{k} - \bar{P}_{k}H_{k+1}^{T} (H_{k+1}\bar{P}_{k}H_{k+1}^{T} + R_{k+1})^{-1} H_{k+1}\bar{P}_{k} \tag{35} \\ K_{k+1} &= \bar{P}_{k+1}H_{k+1}^{T}R_{k+1}^{-1} \tag{36} \\ \hat{X}_{k+1} &= \hat{X}_{k} + K_{k+1} (Z_{k+1} - H_{k+1} \hat{X}_{k}) \tag{37} \\ \end{align*} Pˉk+1​Kk+1​X^k+1​​=Pˉk​−Pˉk​Hk+1T​(Hk+1​Pˉk​Hk+1T​+Rk+1​)−1Hk+1​Pˉk​=Pˉk+1​Hk+1T​Rk+1−1​=X^k​+Kk+1​(Zk+1​−Hk+1​X^k​)​(35)(36)(37)​
关于初值 X ^ 0 \hat{X}_{0} X^0​与 P ˉ 0 \bar{P}_{0} Pˉ0​有两种方法确定:

  1. 批量计算前n次观测实验数据得到;
  2. 假设 X ^ 0 = 0 \hat{X}_{0}=0 X^0​=0与 P ˉ = C T C I \bar{P}=C^{T}CI Pˉ=CTCI, C C C为一个充分大的正数。
    后者比前者不需要计算 m n × m n mn \times mn mn×mn阶逆矩阵,但是要经过一定次数迭代后才能得到满意估计。

衰减加权

前文表述的加权矩阵将过去和现在的数据视为同等重要。但有些情况被估参数向量可能会随着时间而缓慢变化, 此时应该重视当前数据而逐渐衰减过去数据的影响,只需如下选择加权矩阵:
W k = [ e − ( k − 1 ) a 0 ⋯ 0 0 0 e − ( k − 2 ) a ⋯ 0 0 ⋮ ⋮ ⋱ ⋮ ⋮ 0 0 ⋯ e − a 0 0 0 ⋯ 0 1 ] = [ W k − 1 e − a 0 0 1 ] \begin{align*} W_{k} &= \begin{bmatrix} e^{-(k-1)a}& 0& \cdots& 0& 0 \\ 0& e^{-(k-2)a}& \cdots& 0& 0 \\ \vdots& \vdots& \ddots& \vdots& \vdots \\ 0& 0& \cdots& e^{-a}& 0 \\ 0& 0& \cdots& 0& 1 \end{bmatrix} = \begin{bmatrix} W_{k-1}e^{-a}& 0 \\ 0& 1 \end{bmatrix} \tag{38} \\ \end{align*} Wk​​= ​e−(k−1)a0⋮00​0e−(k−2)a⋮00​⋯⋯⋱⋯⋯​00⋮e−a0​00⋮01​ ​=[Wk−1​e−a0​01​]​(38)​
其中, a a a为一个正数,称为衰减因子。

参考文献

[1] 最优估计准则与方法(5)加权最小二乘估计(WLS)_学习笔记
https://blog.csdn.net/jimmychao1982/article/details/149656746
[2] 《最优估计理论》,周凤歧,2009,高等教育出版社。
[3] 《最优估计理论》,刘胜,张红梅著,2011,科学出版社。


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