Title :
Robust Kalman-Bucy Filter
Author_Institution :
U.S. Army Res. Lab., Adelphi, MD, USA
Abstract :
Development of a robust estimator for uncertain stochastic systems under persistent excitation is presented. The given continuous-time stochastic formulation assumes norm bounded parametric uncertainties and excitations. When there are no system uncertainties, the performance of the proposed robust estimator is similar to that of the Kalman-Bucy filter and the proposed approach asymptotically recovers the desired optimal performance in the presence of uncertainties and or persistent excitation.
Keywords :
Kalman filters; continuous time systems; robust control; stochastic systems; uncertain systems; continuous-time stochastic formulation; norm bounded parametric uncertainties; optimal performance; persistent excitation; robust Kalman-Bucy filter; robust estimator; uncertain stochastic systems; Convergence; Estimation error; Noise; Robustness; Stochastic processes; Uncertainty; Upper bound; $H_{infty}$ filtering; Kalman–Bucy filter;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2012.2203052
