On Globalized Robust Kalman Filter Under Model Uncertainty

• Published in: IEEE transactions on automatic control Vol. 70; no. 2; pp. 1147 - 1160
• Main Authors: Xu, Yang, Xue, Wenchao, Shang, Chao, Fang, Haitao
• Format: Journal Article
• Language: English
• Published: New York IEEE 01.02.2025; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Convergence; Divergence; Fragility; Game theory; globalized robust estimation (GRE); globalized robust Kalman filter (GRKF); Kalman filters; Kullback–Leibler (K–L) divergence; Mathematical models; minimax filters; Minimax technique; most-sensitive distribution; Robustness; Robustness (mathematics); State estimation; Uncertainty; Vectors; Wiener filters

This article proposes a novel state estimation strategy with globalized robustness for a class of systems under uncertainty. Departing from the classical minimax estimation, this article focuses on the globalized robust estimation (GRE), which minimizes the estimator's fragility to attain an ac...