Finite-horizon robust Kalman filter design
Minyue Fu; de Souza, C.E.; Zhi-Quan Luo
Signal Processing, IEEE Transactions on
Volume 49, Issue 9, Sep 2001 Page(s):2103 - 2112
Digital Object Identifier   10.1109/78.942638
Summary:We study the problem of finite-horizon Kalman filtering for systems involving a norm-bounded uncertain block. A new technique is presented for robust Kalman filter design. This technique involves using multiple scaling parameters that ran be optimized by solving a semidefinite program. The use of optimized scaling parameters leads to an improved design. A recursive design method that can be applied to real-time applications is also proposed

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