Title :
Finite-horizon robust Kalman filtering for uncertain discrete time-varying systems with uncertain-covariance white noises
Author :
Dong, Zhe ; You, Zheng
Author_Institution :
Dept. of Precision Instrum. & Mechanology, Tsinghua Univ.
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
Keywords :
Kalman filters; covariance matrices; discrete time filters; filtering theory; time-varying filters; white noise; finite-horizon robust Kalman filtering; output matrices; state estimation error covariance; uncertain discrete time-varying systems; uncertain-covariance white noise; Additive white noise; Covariance matrix; Filtering; Kalman filters; Noise robustness; Time varying systems; Uncertain systems; Uncertainty; Upper bound; White noise; Discrete-time system; Kalman filtering; robust filtering;
Journal_Title :
Signal Processing Letters, IEEE
DOI :
10.1109/LSP.2006.873148
