Robust Kalman filtering for uncertain discrete-time systems

1 June 1994

journal article
Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control

Vol. 39 (6) , 1310-1314
https://doi.org/10.1109/9.293203

Abstract

This paper is concerned with the problem of a Kalman filter design for uncertain discrete-time systems. The system under consideration is subjected to time-varying norm-bounded parameter uncertainty in both the state and output matrices. The problem addressed is the design of a linear filter such that the variance of the filtering error is guaranteed to be within a certain bound for all admissible uncertainties. Furthermore, the guaranteed cost can be optimized by appropriately searching a scaling design parameter.<>

Keywords

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