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Title: | Robust Kalman filtering for discrete time-varying uncertain systems with multiplicative noises |
Authors: | Yang, F Wang, Z Hung, Y |
Keywords: | Additive noise; Multiplicative noise; Norm-bounded uncertainty;Robust Kalman filtering; Time-varying system |
Issue Date: | 2002 |
Publisher: | IEEE |
Citation: | IEEE Transactions on Automatic Control, 47(7): 1179 - 1183 |
Abstract: | In this paper, a robust finite-horizon Kalman filter is designed for discrete time-varying uncertain systems with both additive and multiplicative noises. The system under consideration is subject to both deterministic and stochastic uncertainties. Sufficient conditions for the filter to guarantee an optimized upper bound on the state estimation error variance for admissible uncertainties are established in terms of two discrete Riccati difference equations. A numerical example is given to show the applicability of the presented method. |
Description: | Copyright [2002] 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/2438/3147 |
ISSN: | 0018-9286 |
Appears in Collections: | Computer Science Dept of Computer Science Research Papers |
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