Interval Kalman filter enhanced by positive definite upper bounds

A method based on the interval Kalman filter for discrete uncertain linear systems is presented. The system under consideration is subject to bounded parameter uncertainties not only in the state and observation matrices, but also in the covariance matrices of Gaussian noises. The gain matrix provid...

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Bibliographic Details
Published inIFAC-PapersOnLine Vol. 50; no. 1; pp. 1595 - 1600
Main Authors Tran, Tuan Anh, Jauberthie, Carine, Gall, Françoise Le, Travé-Massuyès, Louise
Format Journal Article
LanguageEnglish
Published Elsevier Ltd 01.07.2017
Subjects
Covariance matrices
Gaussian noise
Interval analysis
Kalman filter
Uncertain linear systems
Interval analysis
Uncertain linear systems
Gaussian noise
Covariance matrices
Kalman filter
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ISSN2405-8963
2405-8963
DOI10.1016/j.ifacol.2017.08.315

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Summary:A method based on the interval Kalman filter for discrete uncertain linear systems is presented. The system under consideration is subject to bounded parameter uncertainties not only in the state and observation matrices, but also in the covariance matrices of Gaussian noises. The gain matrix provided by the filter is optimized to give a minimal upper bound on the state estimation error covariance for all admissible uncertainties. The state estimation is then determined by using interval analysis in order to enclose the set of all possible solutions with respect to the classical Kalman filtering structure.
ISSN:2405-8963
2405-8963
DOI:10.1016/j.ifacol.2017.08.315