Nonlinear state estimation for uncertain systems with an integralconstraint

  • Authors:
  • M.R. James;I.R. Petersen

  • Affiliations:
  • Dept. of Eng., Australian Nat. Univ., Canberra, ACT;-

  • Venue:
  • IEEE Transactions on Signal Processing
  • Year:
  • 1998

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Abstract

This paper considers a problem of robust filtering for a class of uncertain nonlinear systems. The solution involves a set-valued state estimate that is obtained by solving a Hamilton-Jacobi-Bellman equation. In addition, a less computationally intensive approximate solution to the problem is obtained for filtering problems defined over a large time interval. The paper also presents an approximate solution to the robust filtering problem, which leads to a robust version of the extended Kalman filter