Title :
A discrete-time robust extended Kalman filter
Author :
Kallapur, Abhijit ; Petersen, Ian ; Anavatti, Sreenatha
Author_Institution :
Sch. of Aerosp., Civil & Mech. Eng., Univ. of New South Wales at the Australian Defence Force Acad., Canberra, ACT, Australia
Abstract :
A discrete-time robust extended Kalman filter (REKF) formulation for uncertain systems expressed in terms of a set-valued state estimator is described in this paper. The robust filter and Riccati equations are derived as an approximate solution to a reverse-time optimal control problem defining this set-valued state estimator. As presented, the uncertainties are modeled by a sum quadratic constraint (SQC) that takes into account both modeling uncertainties as well as uncertainties introduced from exogenous noise sources.
Keywords :
Kalman filters; Riccati equations; discrete time systems; optimal control; state estimation; uncertain systems; Riccati equation; discrete-time robust extended Kalman filter; exogenous noise sources; modeling uncertainties; reverse-time optimal control problem; robust filter; set valued state estimator; sum quadratic constraint; uncertain systems; Australia; Nonlinear filters; Nonlinear systems; Optimal control; Riccati equations; Robust control; Robustness; State estimation; Uncertain systems; Uncertainty;
Conference_Titel :
American Control Conference, 2009. ACC '09.
Conference_Location :
St. Louis, MO
Print_ISBN :
978-1-4244-4523-3
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2009.5160057
