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Optimal guaranteed cost filtering for uncertain discrete-time linear systems

✍ Scribed by Ian R. Petersen; Duncan C. McFarlane

Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
711 KB
Volume
6
Category
Article
ISSN
1049-8923

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✦ Synopsis

This paper presents a result on the design of a steady-state robust state estimator for a class of uncertain discrete-time linear systems with normal bounded uncertainty. This result extends the steady state Kalman filter to the case in which the underlying system is uncertain. A procedure is given for the construction of a state estimator which minimizes a bound on the state error covariance. It is shown that this leads to a state estimator which is optimal with respect to a notion of quadratic guaranteed cost state estimation.

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