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Robust finite-horizon Kalman filtering for uncertain discrete-time systems
journal contribution
posted on 2012-06-01, 00:00 authored by Shady MohamedShady Mohamed, Saeid NahavandiIn this note, we propose a design for a robust finite-horizon Kalman filtering for discrete-time systems suffering from uncertainties in the modeling parameters and uncertainties in the observations process (missing measurements). The system parameter uncertainties are expected in the state, output and white noise covariance matrices. We find the upper-bound on the estimation error covariance and we minimize the proposed upper-bound.