Technical communique: Robust state estimation for uncertain discrete-time stochastic systems with missing measurements

Authors:
Huayong Liang;Tong Zhou
Affiliations:
Department of Automation, Tsinghua University, Beijing, 100084, China;Department of Automation and TNList, Tsinghua University, Beijing, 100084, China
Venue:
Automatica (Journal of IFAC)
Year:
2011

Citing 3
Cited 1

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Abstract

In this paper, results of robust estimation of Zhou (2010a) are extended to state estimation with missing measurements. A new procedure is derived which inherits the main properties of that of Zhou (2010a). In this extension, a covariance matrix used in the recursions is replaced by its estimate which makes its asymptotic property investigation mathematically difficult. Though introducing a monotonic function and using the so-called squeeze rule, this new robust estimator is proved to converge to a stable system. Numerical simulation results indicate that the proposed estimator may have an estimation accuracy better than the estimator of Wang, Yang, Daniel, and Liu (2005).