Finite-horizon robust Kalman filtering for uncertain discrete time-varying systems with uncertain-covariance white noises
A finite-horizon robust Kalman filtering approach for discrete time-varying uncertain systems with additive uncertain-covariance white noises is presented. The system under consideration is subject to uncertainties in both the state and output matrices. The state and gain matrices of the filter are...
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| Published in | IEEE signal processing letters Vol. 13; no. 8; pp. 493 - 496 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
New York
IEEE
01.08.2006
The Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
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| Abstract | A finite-horizon robust Kalman filtering approach for discrete time-varying uncertain systems with additive uncertain-covariance white noises is presented. The system under consideration is subject to uncertainties in both the state and output matrices. The state and gain matrices of the filter are optimized to give a minimal upper bound on the state estimation error covariance for all admissible uncertainties |
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| AbstractList | A finite-horizon robust Kalman filtering approach for discrete time-varying uncertain systems with additive uncertain-covariance white noises is presented. The system under consideration is subject to uncertainties in both the state and output matrices. The state and gain matrices of the filter are optimized to give a minimal upper bound on the state estimation error covariance for all admissible uncertainties |
| Author | Zheng You Zhe Dong |
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| Cites_doi | 10.1109/CDC.1991.261827 10.1016/0167-6911(94)90106-6 10.1109/78.485915 10.1109/78.482099 10.1109/9.317138 10.1002/(SICI)1099-1239(199605)6:4<267::AID-RNC232>3.0.CO;2-3 10.1109/9.293203 10.1109/CDC.2000.912306 10.1109/78.942638 |
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| SubjectTerms | Additive white noise Covariance matrix Discrete-time system Filtering Gain Kalman filtering Kalman filters Mathematical analysis Matrices Matrix methods Noise robustness robust filtering State estimation Time varying systems Uncertain systems Uncertainty Upper bound White noise |
| Title | Finite-horizon robust Kalman filtering for uncertain discrete time-varying systems with uncertain-covariance white noises |
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