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Variance-constrained filtering for uncertain stochastic systems with missing measurements

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3 Author(s)
Zidong Wang ; Dept. of Inf. Syst. & Comput., Brunel Univ., Uxbridge, UK ; Ho, D.W.C. ; Xiaohui Liu

In this note, we consider a new filtering problem for linear uncertain discrete-time stochastic systems with missing measurements. The parameter uncertainties are allowed to be norm-bounded and enter into the state matrix. The system measurements may be unavailable (i.e., missing data) at any sample time, and the probability of the occurrence of missing data is assumed to be known. The purpose of this problem is to design a linear filter such that, for all admissible parameter uncertainties and all possible incomplete observations, the error state of the filtering process is mean square bounded, and the steady-state variance of the estimation error of each state is not more than the individual prescribed upper bound. It is shown that, the addressed filtering problem can effectively be solved in terms of the solutions of a couple of algebraic Riccati-like inequalities or linear matrix inequalities. The explicit expression of the desired robust filters is parameterized, and an illustrative numerical example is provided to demonstrate the usefulness and flexibility of the proposed design approach.

Published in:

Automatic Control, IEEE Transactions on  (Volume:48 ,  Issue: 7 )

Date of Publication:

July 2003

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