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Robust Kalman filtering for uncertain discrete-time systems

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3 Author(s)
Lihua Xie ; Sch. of Electr. & Electron. Eng., Nanyang Technol. Univ., Singapore ; Yeng Chai Soh ; de Souza, Carlos E.

This paper is concerned with the problem of a Kalman filter design for uncertain discrete-time systems. The system under consideration is subjected to time-varying norm-bounded parameter uncertainty in both the state and output matrices. The problem addressed is the design of a linear filter such that the variance of the filtering error is guaranteed to be within a certain bound for all admissible uncertainties. Furthermore, the guaranteed cost can be optimized by appropriately searching a scaling design parameter

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Automatic Control, IEEE Transactions on  (Volume:39 ,  Issue: 6 )