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author:

Yang, F. (Yang, F..) [1] | Wang, Z. (Wang, Z..) [2] | Hung, Y.S. (Hung, Y.S..) [3]

Indexed by:

Scopus

Abstract:

In this note, a robust finite-horizon Kalman filter is designed for discrete time-varying uncertain systems with both additive and multiplicative noises. The system under consideration is subject to both deterministic and stochastic uncertainties. Sufficient conditions for the filter to guarantee an optimized upper bound on the state estimation error variance for admissible uncertainties are established in terms of two discrete Riccati difference equations. A numerical example is given to show the applicability of the presented method.

Keyword:

Additive noise; Multiplicative noise; Norm-bounded uncertainty; Robust Kalman filtering; Time-varying system

Community:

  • [ 1 ] [Yang, F.]Department of Electrical Engineering, Fuzhou University, Fuzhou 350002, China
  • [ 2 ] [Wang, Z.]Control Theory and Applications Centre, School of Mathematical and Information Sciences, Coventry University, Coventry CV1 5FB, United Kingdom
  • [ 3 ] [Wang, Z.]Department of Information Systems and Computing, Brunel University, Uxbridge, Middlesex UB8 3PH, United Kingdom
  • [ 4 ] [Hung, Y.S.]Department of Electrical and Electronic Engineering, University of Hong Kong, Hong Kong, Hong Kong

Reprint 's Address:

  • [Yang, F.]Department of Electrical Engineering, Fuzhou University, Fuzhou 350002, China

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Source :

IEEE Transactions on Automatic Control

ISSN: 0018-9286

Year: 2002

Issue: 7

Volume: 47

Page: 1179-1183

1 . 5 5 3

JCR@2002

6 . 2 0 0

JCR@2023

JCR Journal Grade:1

Cited Count:

WoS CC Cited Count:

SCOPUS Cited Count: 250

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 1

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