Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3147
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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