Design and analysis of discrete-time robust Kalman filters |
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Authors: | Xing ZhuAuthor VitaeYeng Chai SohAuthor Vitae Lihua XieAuthor Vitae |
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Affiliation: | School of Electrical & Electronic Engineering, Nanyang Technological University, Nanyang Avenue, Singapore 639798, Singapore |
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Abstract: | In this paper, the problem of finite and infinite horizon robust Kalman filtering for uncertain discrete-time systems is studied. The system under consideration is subject to time-varying norm-bounded parameter uncertainty in both the state and output matrices. The problem addressed is the design of linear filters having an error variance with an optimized guaranteed upper bound for any allowed uncertainty. A novel technique is developed for robust filter design. This technique gives necessary and sufficient conditions to the design of robust quadratic filters over finite and infinite horizon in terms of a pair of parameterized Riccati equations. Feasibility and convergence properties of the robust quadratic filters are also analyzed. |
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Keywords: | Uncertain discrete-time systems Robust state estimation Kalman filtering Asymptotic analysis |
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