Title :
Finite horizon robust Kalman filter design
Author :
Fu, Minyue ; de Souza, Carlos E. ; Luo, Zhi-Quan
Author_Institution :
Dept. of Electr. & Comput. Eng., Newcastle Univ., NSW, Australia
Abstract :
In this paper, we study the problem of finite horizon Kalman filtering for systems involving a norm-bounded uncertain block. A new technique is presented for robust Kalman filter design. This technique involves using multiple scaling parameters which can be optimized by solving a semidefinite program. The use of optimized scaling parameters leads to an improved design. Also proposed is a recursive design method which can be applied to real-time applications
Keywords :
Kalman filters; filtering theory; mathematical programming; stability; uncertain systems; finite horizon robust Kalman filter design; multiple scaling parameter optimization; norm-bounded uncertain block; real-time applications; recursive design method; semidefinite program; Australia; Control systems; Design optimization; Filtering; Infinite horizon; Kalman filters; Nonlinear filters; Robustness; State estimation; Uncertainty;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.833260
