Guaranteed Performance Robust Kalman Filter for Continuous-Time Markovian Jump Nonlinear System with Uncertain Noise
Joint Authors
Spiryagin, Maksym
Zhu, Jin
Lee, Kwan-Soo
Park, Junhong
Source
Mathematical Problems in Engineering
Issue
Vol. 2008, Issue 2008 (31 Dec. 2008), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2008-09-15
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
Robust Kalman filtering design for continuous-time Markovian jump nonlinear systems with uncertain noise was investigated.
Because of complexity of Markovian jump systems, the statistical characteristics of system noise and observation noise are time-varying or unmeasurable instead of being stationary.
In view of robust estimation, maximum admissible upper bound of the uncertainty to noise covariance matrix was given based on system state estimation performance.
As long as the noise uncertainty is limited within this bound via noise control, the Kalman filter has robustness against noise uncertainty, and stability of dynamic systems can be ensured.
It is proved by game theory that this design is a robust mini-max filter.
A numerical example shows the validity of this design.
American Psychological Association (APA)
Zhu, Jin& Park, Junhong& Lee, Kwan-Soo& Spiryagin, Maksym. 2008. Guaranteed Performance Robust Kalman Filter for Continuous-Time Markovian Jump Nonlinear System with Uncertain Noise. Mathematical Problems in Engineering،Vol. 2008, no. 2008, pp.1-12.
https://search.emarefa.net/detail/BIM-482721
Modern Language Association (MLA)
Zhu, Jin…[et al.]. Guaranteed Performance Robust Kalman Filter for Continuous-Time Markovian Jump Nonlinear System with Uncertain Noise. Mathematical Problems in Engineering No. 2008 (2008), pp.1-12.
https://search.emarefa.net/detail/BIM-482721
American Medical Association (AMA)
Zhu, Jin& Park, Junhong& Lee, Kwan-Soo& Spiryagin, Maksym. Guaranteed Performance Robust Kalman Filter for Continuous-Time Markovian Jump Nonlinear System with Uncertain Noise. Mathematical Problems in Engineering. 2008. Vol. 2008, no. 2008, pp.1-12.
https://search.emarefa.net/detail/BIM-482721
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-482721