ROBUST KALMAN FILTERING FOR SYSTEMS UNDER NORM BOUNDED UNCERTAINTIES IN ALL SYSTEM MATRICES AND ERROR COVARIANCE CONSTRAINTS

XIA Yuanqing;HAN Jinqing

Journal of Systems Science & Complexity ›› 2005, Vol. 18 ›› Issue (4) : 439-445.

PDF(188 KB)
PDF(188 KB)
Journal of Systems Science & Complexity ›› 2005, Vol. 18 ›› Issue (4) : 439-445.
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ROBUST KALMAN FILTERING FOR SYSTEMS UNDER NORM BOUNDED UNCERTAINTIES IN ALL SYSTEM MATRICES AND ERROR COVARIANCE CONSTRAINTS

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Abstract

This paper concerns robust Kalman filtering for systems under norm bounded uncertainties in all the system matrices and error covariance constraints. Sufficient conditions are given for the existence of such filters in terms of Riccati equations. The solutions to the conditions can be used to design the filters. Finally, an illustrative example is given to demonstrate the effectiveness of the proposed design procedure.

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Kalman filtering / robust filtering / uncertain systems / error covariance / Riccati equation approach

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XIA Yuanqing , HAN Jinqing. ROBUST KALMAN FILTERING FOR SYSTEMS UNDER NORM BOUNDED UNCERTAINTIES IN ALL SYSTEM MATRICES AND ERROR COVARIANCE CONSTRAINTS. Journal of Systems Science and Complexity, 2005, 18(4): 439-445
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