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.