A discrete-time robust extended Kalman filter

Author

Kallapur, Abhijit ; Petersen, Ian ; Anavatti, Sreenatha

Author_Institution

Sch. of Aerosp., Civil & Mech. Eng., Univ. of New South Wales at the Australian Defence Force Acad., Canberra, ACT, Australia

fYear

2009

fDate

10-12 June 2009

Firstpage

3819

Lastpage

3823

Abstract

A discrete-time robust extended Kalman filter (REKF) formulation for uncertain systems expressed in terms of a set-valued state estimator is described in this paper. The robust filter and Riccati equations are derived as an approximate solution to a reverse-time optimal control problem defining this set-valued state estimator. As presented, the uncertainties are modeled by a sum quadratic constraint (SQC) that takes into account both modeling uncertainties as well as uncertainties introduced from exogenous noise sources.

Keywords

Kalman filters; Riccati equations; discrete time systems; optimal control; state estimation; uncertain systems; Riccati equation; discrete-time robust extended Kalman filter; exogenous noise sources; modeling uncertainties; reverse-time optimal control problem; robust filter; set valued state estimator; sum quadratic constraint; uncertain systems; Australia; Nonlinear filters; Nonlinear systems; Optimal control; Riccati equations; Robust control; Robustness; State estimation; Uncertain systems; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

American Control Conference, 2009. ACC '09.

Conference_Location

St. Louis, MO

ISSN

0743-1619

Print_ISBN

978-1-4244-4523-3

Electronic_ISBN

0743-1619

Type

conf

DOI

10.1109/ACC.2009.5160057

Filename

5160057