Finite horizon robust Kalman filter design

Minyue Fu, Carlos E. de Souza, Zhi Quan Luo

Research output: Contribution to journalConference articlepeer-review

16 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 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 languageEnglish (US)
Pages (from-to)4555-4560
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
StatePublished - Dec 1 1999
EventThe 38th IEEE Conference on Decision and Control (CDC) - Phoenix, AZ, USA
Duration: Dec 7 1999Dec 10 1999


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