Title :
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
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;
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
DOI :
10.1109/MED.2008.4602037
