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Finite‐horizon robust Kalman filtering for uncertain discrete time‐varying systems with state‐delay
Author(s) -
Liu Zijian
Publication year - 2012
Publication title -
asian journal of control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.769
H-Index - 53
eISSN - 1934-6093
pISSN - 1561-8625
DOI - 10.1002/asjc.367
Subject(s) - control theory (sociology) , kalman filter , estimator , discrete time and continuous time , bounded function , state (computer science) , upper and lower bounds , mathematics , norm (philosophy) , computer science , state estimator , control (management) , algorithm , statistics , artificial intelligence , mathematical analysis , political science , law
A finite‐horizon robust estimator design approach is developed for a class of discrete time‐varying uncertain systems with state‐delay. It extends the Kalman filter to the case in which the considered system is subject to norm‐bounded uncertainties in both state and output matrices. The state and gain matrices of the designed filter are optimized to give a minimal upper bound such that the estimation error variance is guaranteed to lie within a certain bound for all admissible uncertainties. A simulation example is presented to show the effectiveness of the proposed approach by comparing to the traditional Kalman filtering method. Copyright © 2011 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society