Finite-horizon robust Kalman filter design

Authors:
Minyue Fu;C.E. de Souza;Zhi-Quan Luo
Affiliations:
Dept. of Electr. & Comput. Eng., Newcastle Univ., Callaghan, NSW;-;-
Venue:
IEEE Transactions on Signal Processing
Year:
2001

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Abstract

We study the problem of finite-horizon Kalman filtering for systems involving a norm-bounded uncertain block. A new technique is presented for robust Kalman filter design. This technique involves using multiple scaling parameters that ran be optimized by solving a semidefinite program. The use of optimized scaling parameters leads to an improved design. A recursive design method that can be applied to real-time applications is also proposed