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Robust Kalman filtering for discrete state-delay systems

Robust Kalman filtering for discrete state-delay systems

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A robust estimator design methodology has been developed for a class of linear uncertain discrete-time systems. It extends the Kalman filter to the case in which the underlying system is subject to norm-bounded uncertainties and constant state delay. A linear state estimator is constructed via a systematic procedure such that the estimation error covariance is guaranteed to lie within a certain bound for all admissible uncertainties. The solution is given in terms of two Riccati equations involving scaling parameters. A numerical example is provided to illustrate the theory.

Inspec keywords: uncertain systems; Riccati equations; filtering theory; delay systems; Kalman filters; linear systems; state estimation; discrete time systems

Other keywords: delay systems; Kalman filter; uncertain systems; linear systems; Riccati equations; discrete-time systems; state estimation

Subjects: Signal processing theory; Discrete control systems; Algebra; Simulation, modelling and identification; Distributed parameter control systems

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