Comments on “Finite-Horizon Robust Kalman Filtering for Uncertain Discrete Time-Varying Systems With Uncertain-Covariance White Noises”

Author

Souto, Rodrigo Fontes ; Ishihara, João Yoshiyuki

Author_Institution

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

Volume

17

Issue

2

fYear

2010

Firstpage

213

Lastpage

216

Abstract

This comment presents an enhancement over the robust predictor recently developed in the work by Dong and You. Besides uncertainties in both state and output matrices, the proposed design also allows dynamic and measurement noises to be with unknown time-variant expected values and to be correlated with unknown time-variant cross-covariance. The enhanced predictor leads to a less conservative design which is confirmed by a numerical example.

Keywords

Kalman filters; covariance analysis; discrete time filters; estimation theory; prediction theory; time-varying filters; uncertain systems; white noise; Kalman predictor; dynamic noise; finite-horizon robust Kalman filtering; measurement noise; robust estimation; robust predictor; time-variant cross-covariance; uncertain discrete time-varying system; uncertain-covariance white noise; Brazil Council; Costs; Covariance matrix; Filtering; Kalman filters; Noise measurement; Noise robustness; Time varying systems; Uncertain systems; White noise; Kalman predictor; robust estimation;

fLanguage

English

Journal_Title

Signal Processing Letters, IEEE

Publisher

ieee

ISSN

1070-9908

Type

jour

DOI

10.1109/LSP.2008.2005046

Filename

5357475