DocumentCode :
3494336
Title :
Robust Variance Constrained Filter Design for Systems with Non-Gaussian Noises
Author :
Yang, Fuwen ; Li, Yongmin ; Liu, Xiaohui
Author_Institution :
Brunel Univ., Uxbridge
fYear :
2008
fDate :
6-8 April 2008
Firstpage :
880
Lastpage :
884
Abstract :
In this paper, a variance constrained filtering problem is considered for systems with both non-Gaussian noises and polytopic uncertainty. A novel filter is developed to estimate the systems states based on the current observation and known deterministic input signals. A free parameter is introduced in the filter to handle the uncertain input matrix in the known deterministic input term. In addition, unlike the existing variance constrained filters, which are constructed by the previous observation, the filter is formed from the current observation. A time-varying linear matrix inequality (LMI) approach is used to derive an upper bound of the state estimation error variance. The optimal bound is obtained by solving a convex optimisation problem via Semi-Definite Programming (SDP) approach. Simulation results are provided to demonstrate the effectiveness of the proposed method.
Keywords :
convex programming; discrete time filters; filtering theory; linear matrix inequalities; state estimation; time-varying filters; uncertain systems; SDP approach; convex optimisation problem; deterministic input signals; linear matrix inequality; nonGaussian noises; polytopic uncertain discrete-time systems; polytopic uncertainty; semidefinite programming; state estimation error variance; time-varying LMI approach; uncertain input matrix; variance constrained filtering problem; Filtering; Filters; Gaussian noise; Linear matrix inequalities; Noise measurement; Noise robustness; State estimation; Uncertain systems; Uncertainty; Working environment noise;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Networking, Sensing and Control, 2008. ICNSC 2008. IEEE International Conference on
Conference_Location :
Sanya
Print_ISBN :
978-1-4244-1685-1
Electronic_ISBN :
978-1-4244-1686-8
Type :
conf
DOI :
10.1109/ICNSC.2008.4525340
Filename :
4525340
Link To Document :
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