Title :
H∞ Gaussian filter on infinite time horizon
Author :
Chen, Xiang ; Zhou, Kemin
Author_Institution :
Dept. of Electr. & Comput. Eng., Univ. of Windsor, CT, USA
fDate :
5/1/2002 12:00:00 AM
Abstract :
Addresses design of H∞ Gaussian filters on infinite time horizon. In particular, we are interested in the robust filter design in a Gaussian noisy environment for a target plant which is subject to model uncertainty. The proposed filter can be treated as a natural extension of the Kalman filter for plants with model uncertainty in their worst cases. It is shown that the design can be done by solving a set of coupled algebraic Riccati equations. It is claimed that the resulting filter captures a trade-off between H∞ and H 2 (Kalman) filters
Keywords :
Gaussian noise; H∞ control; Kalman filters; Riccati equations; robust control; uncertain systems; Gaussian noisy environment; H∞ Gaussian filter; Kalman filter; coupled algebraic Riccati equations; infinite time horizon; model uncertainty; robust filter; Bioelectric phenomena; Circuit simulation; Equations; Filters; Frequency response; Inspection; Joining processes; Operational amplifiers; Resistors; Voltage;
Journal_Title :
Circuits and Systems I: Fundamental Theory and Applications, IEEE Transactions on
DOI :
10.1109/TCSI.2002.1001957
