一、引言卡尔曼过滤理论与估值理论是一致的,许多文献,例如[1]、[2]都指出了这一点。实际上,所谓卡尔曼过滤,就是动态系统的最佳线性递推估值,尽管如此,卡尔曼过滤方程组的推导一般是独立进行的,而不是直接利用经典估值定理。上面提到的文献就是如此。值得注意的是,在文献[2]中,引用了估值定理推导出静态系统的递推估值公式,但对 I. Introduction Kalman filtering theory and valuation theory are consistent, many documents, such as [1], [2] have pointed out this point. In fact, the so-called Kalman filtering is the best linear recursive estimation of dynamical systems. However, the derivation of Kalman filtering equations is generally independent, rather than directly using classical valuation theorems. This is the case with the literature mentioned above. It is noteworthy that in reference [2], the recursive estimation formula of static system is derived by using the valuation theorem,