Enhanced robust Kalman predictor for discrete-time systems with uncertain correlated noises

Author

Souto, Rodrigo Fontes ; Ishihara, João Yoshiyuki

Author_Institution

Dept. of Electr. Eng., Brasilia Univ., Brasilia, Brazil

fYear

2008

fDate

9-11 Dec. 2008

Firstpage

1660

Lastpage

1665

Abstract

This paper presents an enhanced robust predictor for uncertain discrete-time systems. Besides uncertainties in both state and output matrices, it is also permitted dynamic and measurement noises to be correlated with unknown correlation covariance. All uncertainties in the proposed model are time-varying and supposed norm-bounded. The filter is obtained minimizing an upper bound of the variance error estimation, that is, the design leads to a guaranteed cost for all allowed uncertainties. Simulation examples are provided to show the performance of the enhanced estimator.

Keywords

Kalman filters; control system synthesis; discrete time systems; minimisation; robust control; uncertain systems; discrete-time systems; enhanced robust Kalman predictor; time-varying model; uncertain correlated noises; variance error estimation; Costs; Covariance matrix; Filtering; Kalman filters; Noise robustness; Nonlinear filters; Riccati equations; Robust control; Uncertain systems; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2008. CDC 2008. 47th IEEE Conference on

Conference_Location

Cancun

ISSN

0191-2216

Print_ISBN

978-1-4244-3123-6

Electronic_ISBN

0191-2216

Type

conf

DOI

10.1109/CDC.2008.4739395

Filename

4739395