确保状态估计性能的离散时间鲁棒Kalman滤波器
Discrete-Time Robust Kalman Filter of Guaranteed State Estimation Performance
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摘要: 讨论了一类具有不确定噪声的离散时间线性系统的鲁棒Kalman滤波器的设计思想和方 法.文中给出确保估计误差性能指标的不确定噪声协方差矩阵的扰动上界,并在此界限内采 用最坏情况下最优滤波器实现对状态的估计,它不仅能极小化不确定下的最坏性能,而且 还能确保估计误差性能指标达到给定的某个自由度.Abstract: This paper considers the design method of robust Kalman filter with uncertain noise for discrete-time linear system. The perturbating upper bound on uncertain covariances which can guarantee performance index of estimation errors is obtained. In particular, it is shown that, in the perturbating upper bound, using the optimum estimator under the worst-case can minimize the worst performance in uncertaincase and guarantee that performance index of state estimation errors reaches a given free degree.
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Key words:
- Discrete-time system /
- uncertain noise /
- guaranteed estimation performance
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