Title :
Enhanced robust Kalman predictor for discrete-time systems with uncertain correlated noises
Author :
Souto, Rodrigo Fontes ; Ishihara, João Yoshiyuki
Author_Institution :
Dept. of Electr. Eng., Brasilia Univ., Brasilia, Brazil
Abstract :
This paper presents an enhanced robust predictor for uncertain discrete-time systems. Besides uncertainties in both state and output matrices, it is also permitted dynamic and measurement noises to be correlated with unknown correlation covariance. All uncertainties in the proposed model are time-varying and supposed norm-bounded. The filter is obtained minimizing an upper bound of the variance error estimation, that is, the design leads to a guaranteed cost for all allowed uncertainties. Simulation examples are provided to show the performance of the enhanced estimator.
Keywords :
Kalman filters; control system synthesis; discrete time systems; minimisation; robust control; uncertain systems; discrete-time systems; enhanced robust Kalman predictor; time-varying model; uncertain correlated noises; variance error estimation; Costs; Covariance matrix; Filtering; Kalman filters; Noise robustness; Nonlinear filters; Riccati equations; Robust control; Uncertain systems; Uncertainty;
Conference_Titel :
Decision and Control, 2008. CDC 2008. 47th IEEE Conference on
Conference_Location :
Cancun
Print_ISBN :
978-1-4244-3123-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2008.4739395
