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 which can be optimized by solving a semidefinite program. The use of optimized scaling parameters leads to an improved design. Also proposed is a recursive design method which can be applied to real-time applications.
Original language | English (US) |
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Pages (from-to) | 4555-4560 |
Number of pages | 6 |
Journal | Proceedings of the IEEE Conference on Decision and Control |
Volume | 5 |
State | Published - Dec 1 1999 |
Event | The 38th IEEE Conference on Decision and Control (CDC) - Phoenix, AZ, USA Duration: Dec 7 1999 → Dec 10 1999 |