Robust Kalman filtering for discrete time-varying uncertain systems with multiplicative noises

Author

Yang, Fuwen ; Wang, Zidong ; Hung, Y.S.

Author_Institution

Dept. of Electr. Eng., Fuzhou Univ., China

Volume

47

Issue

7

fYear

2002

fDate

7/1/2002 12:00:00 AM

Firstpage

1179

Lastpage

1183

Abstract

In this paper, a robust finite-horizon Kalman filter is designed for discrete time-varying uncertain systems with both additive and multiplicative noises. The system under consideration is subject to both deterministic and stochastic uncertainties. Sufficient conditions for the filter to guarantee an optimized upper bound on the state estimation error variance for admissible uncertainties are established in terms of two discrete Riccati difference equations. A numerical example is given to show the applicability of the presented method

Keywords

Kalman filters; Riccati equations; difference equations; discrete time systems; noise; state estimation; time-varying systems; uncertain systems; additive noise; discrete Riccati difference equations; discrete time systems; finite-horizon Kalman filter; multiplicative noises; state estimation; stochastic uncertainty; sufficient conditions; time-varying systems; uncertain systems; upper bound; Additive noise; Filtering; Kalman filters; Noise robustness; Stochastic resonance; Stochastic systems; Sufficient conditions; Time varying systems; Uncertain systems; Uncertainty;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/TAC.2002.800668

Filename

1017567