H∞ nonlinear filtering of discrete-time processes

Authors:
U. Shaked;N. Berman
Affiliations:
Dept. of Electr. Eng.-Syst., Tel Aviv Univ.;-
Venue:
IEEE Transactions on Signal Processing
Year:
1995

Citing 0
Cited 5

Brief paper: H∞ filtering for nonlinear discrete-time stochastic systems with randomly varying sensor delays

Automatica (Journal of IFAC)
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Brief paper: Robust H∞ filtering for nonlinear stochastic systems with uncertainties and Markov delays

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Abstract

This correspondence investigates the problem of H∞ estimation of a discrete-time nonlinear process. An estimator, which may be nonlinear, is introduced so that an H∞-norm-like of what we call a generalized estimation error is guaranteed to be bounded by a prescribed level. Conditions for the existence of such an estimator, and formulae for its derivation, are obtained utilizing a discrete-time analog of the Hamilton-Jacobi inequality. An approximate filter based on linearization is developed. This filter relates to the extended Kalman filter in the same way that the linear H∞ filter relates to the Kalman filter