Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty
Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty
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DOI：
10.1016/j.cam.2003.11.002
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发表时间：
2004-08
影响因子：
2.4
通讯作者：
M. Mahmoud;P. Shi;A. Ismail
中科院分区：
文献类型：
--
作者：
M. Mahmoud;P. Shi;A. Ismail
研究了一类具有马尔可夫跳变参数的线性不确定离散系统的鲁棒卡尔曼滤波问题。底层系统的状态和测量方程中存在范数有界的时变不确定性。首先，研究了系统的随机二次稳定性。然后构造了一个线性状态估计器，使得对于所有容许的不确定性，估计误差协方差保证在一定的范围内。解是由两个耦合的代数Riccati方程给出的。
In this paper, we examine the problem of robust Kalman filtering for a class of linear uncertain discrete-time systems with Markovian jump parameters. The underlying system is subjected to norm-bounded time-varying uncertainties in the state and measurement equations. First, stochastic quadratic stability of the system is studied. Then a linear state estimator is constructed such that the estimation error covariance is guaranteed to lie within certain bound for all admissible uncertainties. The solution is given in terms of two coupled algebraic Riccati equations.