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Robust Kalman filtering for continuous-time Markovian jump uncertain systems

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3 Author(s)
Peng Shi ; Centre for Ind. & Applicable Math., South Australia Univ., The Levels, SA, Australia ; Boukas, E.-K. ; Agarwal, R.K.

This paper 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

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American Control Conference, 1999. Proceedings of the 1999  (Volume:6 )

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