Title :
Robust Kalman Filtering for Uncertain Discrete Markovian Jump Systems
Author :
Zhu, Xing ; Yin, Xiaoming
Author_Institution :
Agilent Technol. Singapore Pte Ltd., Singapore
Abstract :
In this paper, the problem of robust Kalman filtering for uncertain discrete-time systems with Markovian jump parameters is solved. We give a novel design methodology of a stochastic quadratic filter which guarantees both the stability and boundedness of the estimation error dynamics. Our methods depends on the solution to two sets of coupled algebraic Riccati equations.
Keywords :
Kalman filters; Markov processes; Riccati equations; discrete time filters; stochastic processes; uncertain systems; Markovian jump parameters; algebraic Riccati equations; error dynamic estimation; robust Kalman filtering; stochastic quadratic filter; uncertain discrete-time systems; Design methodology; Electronic mail; Estimation error; Filtering; Kalman filters; Riccati equations; Robustness; Stability; Stochastic processes; Uncertain systems;
Conference_Titel :
Industrial Electronics and Applications, 2007. ICIEA 2007. 2nd IEEE Conference on
Conference_Location :
Harbin
Print_ISBN :
978-1-4244-0737-8
Electronic_ISBN :
978-1-4244-0737-8
DOI :
10.1109/ICIEA.2007.4318858
