Robust H∞ filtering with error variance constraints for discrete time-varying systems with uncertainty |
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| Authors: | Y.S. Hung [Author Vitae] Fuwen Yang [Author Vitae] |
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| Affiliation: | a Department of Electrical and Electronic Engineering, The University of Hong Kong, Pokfulam Road, Hong Kong
b Department of Electrical Engineering, Fuzhou University, Fuzhou 350002, People's Republic of China |
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| Abstract: | The robust H∞ filtering problem with error variance constraints is considered for discrete time-varying systems subject to norm-bounded parameter uncertainties in both the state and the output matrices of the state-space model. Sufficient conditions for a finite-horizon filter to satisfy state estimation error variance constraints as well as prescribed H∞ performance for all admissible perturbations are given in terms of two discrete Riccati difference equations, which are of a form suitable for recursive computation. The results are extended to cover the case of stationary filtering over an infinite-horizon for uncertain time-invariant systems. |
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| Keywords: | Robust H&infin filtering Error variance constraint Quadratic stability Uncertain systems Discrete Riccati equation |
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