基于方差配置不确定系统的鲁棒滤波

实际系统普遍存在不确定性,这种不确定性可能导致滤波发散问题.该文对一类时变不确定系统讨论了一种指定误差方差上限的状态滤波器的设计,该方法采用两个Riccati方程,其中第一个Riccati方程用以补偿系统的不确定性,第二个Riccati方程用来配置状态滤波误差的协方差上限.导出了滤波器的存在条件和滤波器的通解,揭示了该滤波器与稳态Kalman滤波器之间的内在联系.

VARIANCE-ASSIGNMENT-BASED ROBUST FILTERING FOR UNCERTAIN SYSTEMS

Uncertainties exist in real systems at large, which may cause filtering to disconverge. A robust filter with specified upper error variance is addressed by the paper. Two Riccati equations are used in the algorithm, one is to compensate uncertainties of the system, and the other is to assign upper filtering error variance. Existence conditions and general solutions of the filter are derived, and relations between the proposed filter and steady Kalman filter are discussed essentially.