Title :
Robust estimator for uncertain stochastic systems
Author :
George, Jemin ; Linares, Richard
Author_Institution :
Dept. of Mech. & Aerosp. Eng., SUNY - Univ. at Buffalo, Amherst, NY, USA
Abstract :
Development of a robust estimator for uncertain stochastic systems under persistent excitation is presented. The given continuous-time stochastic formulation assumes norm bounded parametric uncertainties and excitations. When there are no system uncertainties, the performance of the proposed robust estimator is similar to that of the Kalman-Bucy filter and the present approach asymptotically recovers the desired optimal performance in the presence of uncertainties and or persistent excitation.
Keywords :
Kalman filters; continuous time systems; estimation theory; stochastic systems; uncertain systems; Kalman-Bucy filter; continuous-time stochastic formulation; norm bounded parametric uncertainty; persistent excitation; robust estimator; uncertain stochastic system; Convergence; Covariance matrix; Equations; Estimation error; Robustness; Steady-state; Uncertainty;
Conference_Titel :
Decision and Control (CDC), 2010 49th IEEE Conference on
Conference_Location :
Atlanta, GA
Print_ISBN :
978-1-4244-7745-6
DOI :
10.1109/CDC.2010.5716963
