Robust Kalman filter for discrete-time systems with correlated noises

Author

Souto, Rodrigo Fontes ; Ishihara, Joao Yoshiyuki

Author_Institution

Dept. of Electr. Eng., Brasilia Univ., Brasilia

fYear

2008

fDate

25-27 June 2008

Firstpage

1658

Lastpage

1662

Abstract

This paper addresses the design of robust one step predictor filter for linear discrete-time systems subject to time-varying and norm bounded uncertainties in every system matrices. The dynamic and measurement noises are allowed to be correlated with unknown time-variant cross-covariance. The proposed filter guarantees a minimal upper bound error variance on the state estimation. A numerical example is given to illustrate the results.

Keywords

Kalman filters; correlation methods; covariance matrices; discrete time filters; error statistics; linear systems; noise; prediction theory; state estimation; time-varying filters; uncertain systems; correlated noise; linear discrete-time system; minimal upper bound error variance; robust Kalman filter; robust one step predictor filter design; state estimation; time-variant cross-covariance matrix; time-varying uncertainty; Filtering; Hydrogen; Noise robustness; Nonlinear filters; Riccati equations; Robust control; State estimation; Time varying systems; Uncertain systems; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Control and Automation, 2008 16th Mediterranean Conference on

Conference_Location

Ajaccio

Print_ISBN

978-1-4244-2504-4

Electronic_ISBN

978-1-4244-2505-1

Type

conf

DOI

10.1109/MED.2008.4602037

Filename

4602037