access icon free Robust Kalman filtering for discrete-time systems with stochastic uncertain time-varying parameters

A robust Kalman filter is proposed for time-varying discrete-time linear systems with uncertainties in state, input noise, and measurement matrices. The filter is obtained by solving an optimisation problem such that the upper bound on the variance of estimation error to be minimised for all admissible uncertainties. A numerical example is presented to show the performance of the proposed robust filter.

Inspec keywords: Kalman filters; optimisation; time-varying filters; discrete time filters; matrix algebra

Other keywords: optimisation problem; time-varying discrete-time linear system; robust Kalman filtering; stochastic uncertain time-varying parameter; measurement matrices; estimation error variance; input noise

Subjects: Filters and other networks; Algebra; Optimisation techniques; Time varying and switched networks

References

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      • 1. Simon, D.: ‘Optimal state estimation: Kalman, H infinity, and nonlinear approaches’ (John Wiley & Sons, Hoboken, NJ, USA, 2006).
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http://iet.metastore.ingenta.com/content/journals/10.1049/el.2016.2520
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