Robust two-stage Kalman filtering with state constraints

In this note, the problem of state estimation is solved for uncertain linear dynamical systems where prior knowledge about the systems´ states is available in the form of equality constraints. Gain projection notion is employed to incorporate state constraints in developing the robust constrained two-stage Kalman filter. Simulation results from the application of proposed filter to a target tracking problem demonstrate that the suggested filter outperforms the standard constrained Kalman filter.