Journal Article

Robust Kalman filtering for continuous-time systems with norm-bounded nonlinear uncertainties

Peng Shi and Yalcin Kaya

in IMA Journal of Mathematical Control and Information

Published on behalf of Institute of Mathematics and its Applications

Volume 17, issue 4, pages 363-373
Published in print December 2000 | ISSN: 0265-0754
Published online December 2000 | e-ISSN: 1471-6887 | DOI: http://dx.doi.org/10.1093/imamci/17.4.363
Robust Kalman filtering for continuous-time systems with norm-bounded nonlinear uncertainties

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In this paper we study the problem of robust Kalman filtering for a class of uncertain linear continuous-time systems. The system under consideration is subjected to time-varying, norm-bounded, nonlinear parameter uncertainties in state and measurement equations. Stability of the above system is analyzed. A state estimator is designed such that the covariance of the estimation error is guaranteed to be within a certain bound for all admissible uncertainties, which is in terms of solutions of two algebraic Riccati equations.

Keywords: Kalman filtering; nonlinear uncertainty; Riccati equations

Journal Article.  0 words. 

Subjects: Mathematics

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