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Robust filtering for continuous-time uncertain nonlinear systems with an integral quadratic constraint | IEEE Conference Publication | IEEE Xplore

Robust filtering for continuous-time uncertain nonlinear systems with an integral quadratic constraint


Abstract:

This paper formulates a robust state estimator for continuous-time uncertain nonlinear systems with an integral quadratic constraint noise/uncertainty description. The mo...Show More

Abstract:

This paper formulates a robust state estimator for continuous-time uncertain nonlinear systems with an integral quadratic constraint noise/uncertainty description. The model uncertainty and exogenous disturbances enter the state dynamics and observation channel in a unified fashion that includes the case of multiplicative noise. The robust filtering problem is formulated as a set-valued state estimation problem which is recast into an optimal control problem. An approximate solution to the resulting Hamilton-Jacobi-Bellman equation is obtained by using quadratic optimization with linearization of the observation equation. The approximate information state of the robust filter is organized as a triple of scalar, vector and matrix-valued parameters governed by a differential Riccati equation.
Date of Conference: 27-29 June 2012
Date Added to IEEE Xplore: 01 October 2012
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Conference Location: Montreal, QC, Canada

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