Brief Robust H∞ filtering with error variance constraints for discrete time-varying systems with uncertainty

Authors:
Y. S. Hung;Fuwen Yang
Affiliations:
Department of Electrical and Electronic Engineering, The University of Hong Kong, Pokfulam Road, Hong Kong;Department of Electrical and Electronic Engineering, The University of Hong Kong, Pokfulam Road, Hong Kong and Department of Electrical Engineering, Fuzhou University, Fuzhou 350002, People's Repu ...
Venue:
Automatica (Journal of IFAC)
Year:
2003

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Abstract

The robust H"~ filtering problem with error variance constraints is considered for discrete time-varying systems subject to norm-bounded parameter uncertainties in both the state and the output matrices of the state-space model. Sufficient conditions for a finite-horizon filter to satisfy state estimation error variance constraints as well as prescribed H"~ performance for all admissible perturbations are given in terms of two discrete Riccati difference equations, which are of a form suitable for recursive computation. The results are extended to cover the case of stationary filtering over an infinite-horizon for uncertain time-invariant systems.