Title :
Robust finite horizon minimax filtering for discrete time stochastic uncertain systems
Author :
Yoon, Myung-gon ; Ugrinovskii, Valery A. ; Petersen, Ian R.
Author_Institution :
Sch. of Electr. Eng., Australian Defence Force Acad., Canberra, ACT, Australia
Abstract :
We study a finite-horizon robust minimax filtering problem for time-varying discrete-time stochastic uncertain systems. The uncertainty in the system is characterized by a set of probability measures under which the stochastic noises, driving the system, are defined. The optimal minimax filter has been found by applying techniques of risk-sensitive linear-quadratic exponential Gaussian (LEQG) control. The structure and properties of the resulting filter are analyzed and compared to H∞ and Kalman filters.
Keywords :
discrete time systems; filtering theory; linear quadratic Gaussian control; minimax techniques; robust control; stochastic systems; time-varying systems; uncertain systems; discrete-time systems; finite-horizon control; linear-quadratic exponential Gaussian control; minimax filtering; probability; risk-sensitive control; robust control; stochastic noises; stochastic systems; time-varying systems; uncertain systems; Filtering; Filters; Minimax techniques; Noise measurement; Noise robustness; Optimal control; Stochastic resonance; Stochastic systems; Time varying systems; Uncertain systems;
Conference_Titel :
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
Print_ISBN :
0-7803-7516-5
DOI :
10.1109/CDC.2002.1184568
