Finite-horizon robust Kalman filter design
Minyue Fu
de Souza, C.E.
Zhi-Quan Luo
Dept. of Electr. & Comput. Eng., Newcastle Univ., Callaghan, NSW;
This paper appears in: Signal Processing, IEEE Transactions on
Publication Date: Sep 2001
Volume: 49,
Issue: 9
On page(s): 2103-2112
ISSN: 1053-587X
References Cited: 6
CODEN: ITPRED
INSPEC Accession Number: 7034370
Digital Object Identifier: 10.1109/78.942638
Current Version Published: 2002-08-07
Abstract
We study the problem of finite-horizon Kalman filtering for
systems involving a norm-bounded uncertain block. A new technique is
presented for robust Kalman filter design. This technique involves using
multiple scaling parameters that ran be optimized by solving a
semidefinite program. The use of optimized scaling parameters leads to
an improved design. A recursive design method that can be applied to
real-time applications is also proposed
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