Abstract
In this paper, 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 can 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.
Original language | English (US) |
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Pages (from-to) | 2103-2112 |
Number of pages | 10 |
Journal | IEEE Transactions on Signal Processing |
Volume | 49 |
Issue number | 9 |
DOIs | |
State | Published - Sep 2001 |
Keywords
- Adaptive filtering
- Kalman filtering
- Robust filtering
- Robust signal processing