Robust Kalman filters for linear time-varying systems with stochastic parametric uncertainties

We present a robust recursive Kalman filtering algorithm that addresses estimation problems that arise in linear time-varying systems with stochastic parametric uncertainties. The filter has a one-step predictor-corrector structure and minimizes an upper bound of the mean square estimation error at each step, with the minimization reduced to a convex optimization problem based on linear matrix inequalities. The algorithm is shown to converge when the system is mean square stable and the state space matrices are time invariant. A numerical example consisting of equalizer design for a communication channel demonstrates that our algorithm offers considerable improvement in performance when compared with conventional Kalman filtering techniques