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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/3153

Title: Robust finite-horizon filtering for stochastic systems with missing measurements
Authors: Wang, Z
Yang, F
Ho, DWC
Liu, X
Keywords: Kalman filtering; Missing measurements; Parameter uncertainty
Robust filtering; Time-varying systems
Publication Date: 2005
Publisher: IEEE
Citation: IEEE Signal Processing Letters 12(6):437 - 440
Abstract: In this letter, we consider the robust finite-horizon filtering problem for a class of discrete time-varying systems with missing measurements and norm-bounded parameter uncertainties. The missing measurements are described by a binary switching sequence satisfying a conditional probability distribution. An upper bound for the state estimation error variance is first derived for all possible missing observations and all admissible parameter uncertainties. Then, a robust filter is designed, guaranteeing that the variance of the state estimation error is not more than the prescribed upper bound. It is shown that the desired filter can be obtained in terms of the solutions to two discrete Riccati difference equations, which are of a form suitable for recursive computation in online applications. A simulation example is presented to show the effectiveness of the proposed approach by comparing to the traditional Kalman filtering method.
Description: Copyright [2005] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to pubs-permissions@ieee.org. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.
URI: http://bura.brunel.ac.uk/handle/2438/3153
ISSN: 1070-9908
Appears in Collections:Information Systems and Computing
School of Information Systems, Computing and Mathematics Research Papers

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