Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters

Author

Shi, Peng ; Boukas, El-Kebir ; Agarwal, Ramesh K.

Author_Institution

Sch. of Math., Univ. of South Australia, Mawson Lakes, SA, Australia

Volume

44

Issue

8

fYear

1999

fDate

8/1/1999 12:00:00 AM

Firstpage

1592

Lastpage

1597

Abstract

Studies the problem of Kalman filtering for a class of uncertain linear continuous-time systems with Markovian jumping parameters. The system under consideration is subjected to time-varying norm-bounded parameter uncertainties in the state and measurement equations. Stochastic quadratic stability of the above system is analyzed. A state estimator is designed such that the covariance of the estimation error is guaranteed to be within a certain bound for all admissible uncertainties, which is in terms of solutions of two sets of coupled algebraic Riccati equations

Keywords

Kalman filters; Markov processes; Riccati equations; continuous time systems; covariance matrices; filtering theory; linear systems; stability; state estimation; time-varying systems; uncertain systems; Kalman filtering; Markovian jumping parameters; Stochastic quadratic stability; continuous-time uncertain systems; coupled algebraic Riccati equations; time-varying norm-bounded parameter uncertainties; Estimation error; Filtering; Kalman filters; Nonlinear filters; Riccati equations; Stability analysis; State estimation; Stochastic systems; Time varying systems; Uncertain systems;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.780431

Filename

780431