Title :
Finite-horizon robust Kalman filter design
Author :
Fu, Minyue ; de Souza, Carlos E. ; Luo, Zhi-Quan
Author_Institution :
Dept. of Electr. & Comput. Eng., Newcastle Univ., Callaghan, NSW, Australia
fDate :
9/1/2001 12:00:00 AM
Abstract :
We study the problem of finite-horizon Kalman filtering for systems involving a norm-bounded uncertain block. A new technique is presented for robust Kalman filter design. This technique involves using multiple scaling parameters that ran be optimized by solving a semidefinite program. The use of optimized scaling parameters leads to an improved design. A recursive design method that can be applied to real-time applications is also proposed
Keywords :
Kalman filters; circuit optimisation; covariance matrices; network parameters; network synthesis; recursive filters; covariance analysis; covariance matrices; finite-horizon robust Kalman filter design; multiple scaling parameters; norm-bounded uncertain block; optimized scaling parameters; real-time applications; recursive design method; recursive least squares filters; semidefinite program; signal processing; Computer errors; Design methodology; Design optimization; Filtering; Kalman filters; Nonlinear filters; Robustness; Signal processing; State estimation; Uncertainty;
Journal_Title :
Signal Processing, IEEE Transactions on
