http://iet.metastore.ingenta.com
1887

Robust Kalman filtering via Krein space estimation

Robust Kalman filtering via Krein space estimation

For access to this article, please select a purchase option:

Buy article PDF
$19.95
(plus tax if applicable)
Buy Knowledge Pack
10 articles for $120.00
(plus taxes if applicable)

IET members benefit from discounts to all IET publications and free access to E&T Magazine. If you are an IET member, log in to your account and the discounts will automatically be applied.

Learn more about IET membership 

Recommend Title Publication to library

You must fill out fields marked with: *

Librarian details
Name:*
Email:*
Your details
Name:*
Email:*
Department:*
Why are you recommending this title?
Select reason:
 
 
 
 
 
IEE Proceedings - Control Theory and Applications — Recommend this title to your library

Thank you

Your recommendation has been sent to your librarian.

A robust Kalman filter is proposed for the discrete-time system with norm-bounded parametric uncertainties. The uncertainties are described by the energy bound constraint, i.e. the sum quadratic constraint (SQC). It is shown that the SQC can be converted into an indefinite quadratic cost function to be minimised in the Krein space, and it is found that the Krein space Kalman filter is a solution of the minimisation problem. After introducing a Krein space state-space model, which includes the uncertainty, one can easily write a robust version of the Krein space Kalman filter by modifying the measurement matrix and the variance of measurement noises in the original Krein space Kalman filter. Since the resulting robust Kalman filter has the same recursive structure as a conventional Kalman filter, a robust filtering scheme can be readily designed using the proposed method. A numerical example demonstrates that the proposed filter achieves robustness against parameter variation and improvement in performance when compared with a conventional Kalman filter and an existing robust Kalman filter, respectively.

References

    1. 1)
    2. 2)
    3. 3)
      • I.R. Petersen , D.C. McFarlane . Optimal guaranteed cost filtering for uncertain discrete-time linear systems. Int. J. Robust Nonlinear Control , 4 , 267 - 280
    4. 4)
    5. 5)
    6. 6)
    7. 7)
      • B. Hassibi , A.H. Sayed , T. Kailath . (1999) Indefinite-quadratic estimation and control: a unified approach to \calH2 and \calH∈fty theories.
    8. 8)
    9. 9)
    10. 10)
    11. 11)
      • V.I. Istratescu . (1987) Inner product structures: theory and applications.
    12. 12)
      • J. Bognar . (1974) Indefinite inner product spaces.
    13. 13)
      • I.R. Petersen , A.V. Savkin . (1999) Robust Kalman filtering for signals and systems with large uncertainties.
    14. 14)
      • S.P. Boyd , C.H. Barratt . (1991) Linear controller design: limit of performance.
http://iet.metastore.ingenta.com/content/journals/10.1049/ip-cta_20040064
Loading

Related content

content/journals/10.1049/ip-cta_20040064
pub_keyword,iet_inspecKeyword,pub_concept
6
6
Loading
This is a required field
Please enter a valid email address