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Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters

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3 Author(s)
Peng Shi ; Sch. of Math., Univ. of South Australia, Mawson Lakes, SA, Australia ; Boukas, E.-K. ; Agarwal, R.K.

Studies the problem of Kalman filtering for a class of uncertain linear continuous-time systems with Markovian jumping parameters. The system under consideration is subjected to time-varying norm-bounded parameter uncertainties in the state and measurement equations. Stochastic quadratic stability of the above system is analyzed. A state estimator is designed such that the covariance of the estimation error is guaranteed to be within a certain bound for all admissible uncertainties, which is in terms of solutions of two sets of coupled algebraic Riccati equations

Published in:

Automatic Control, IEEE Transactions on  (Volume:44 ,  Issue: 8 )

Date of Publication:

Aug 1999

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