Finite-horizon Robust Kalman filter design

Minyue Fu, Carlos E. De Souza, Zhi Quan Tom Luo

Research output: Contribution to journalArticlepeer-review

94 Scopus citations


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 languageEnglish (US)
Pages (from-to)2103-2112
Number of pages10
JournalIEEE Transactions on Signal Processing
Issue number9
StatePublished - Sep 2001

Bibliographical note

Copyright 2012 Elsevier B.V., All rights reserved.


  • Adaptive filtering
  • Kalman filtering
  • Robust filtering
  • Robust signal processing

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