Robust Discrete-Time Minimum-Variance Filtering

Y. Theodor and U.Shaked

Abstract

The bounded-variance filtered estimation of the state of an uncertain, linear, discrete-time system, with an unknown norm-bounded parameter matrix, is considered. An upper-bound on the variance of the estimation error is found for all admissible systems, and estimators are derived that minimize the latter bound. We treat the finite-horizon, time-varying case, and the infinite-time case, where the nominal system model is time-invariant. In the special stationary case, where it is known that the uncertain system is time-invariant, we provide a robust filter for all uncertainties that still keep the system asymptotically stable.

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Last modified: Mon Mar 10 09:32:20 1997