Robust Kalman filtering for continuous time-lag systems with Markovian jump parameters
Robust Kalman filtering for continuous time-lag systems with Markovian jump parameters
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DOI：
10.1109/tcsi.2002.807504
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发表时间：
2003-02
影响因子：
5.1
通讯作者：
M. Mahmoud;P. Shi
中科院分区：
文献类型：
--
作者：
M. Mahmoud;P. Shi
研究了一类参数随机跳跃的线性不确定时滞系统的连续卡尔曼滤波问题。参数的不确定性是范数有界的，跳跃参数的跃迁由有限状态马尔可夫过程控制。建立了基于lmi的随机稳定性的充分条件。研究了线性无延迟状态估计器保证对所有允许的不确定性估计误差协方差在规定范围内的条件。建立了一个鲁棒卡尔曼滤波算法可以由两个涉及标量参数的Riccati方程确定。通过一个数值算例说明了所建立的理论。
The problem of continuous-time Kalman filtering for a class of linear, uncertain time-lag systems with randomly jumping parameters is considered. The parameter uncertainties are norm bounded and the transitions of the jumping parameters are governed by a finite-state Markov process. We establish LMI-based sufficient conditions for stochastic stability. The conditions under which a linear delay-less state estimator guarantees that the estimation error covariance lies within a prescribed bound for all admissible uncertainties are investigated. It is established that a robust Kalman filter algorithm can be determined in terms of two Riccati equations involving scalar parameters. The developed theory is illustrated by a numerical example.