Non-conservative robust Kalman filtering using a noise corrupted measurement matrix

W. S. Ra, I. H. Whang, Jin Bae Park

Research output: Contribution to journalArticle

21 Citations (Scopus)

Abstract

A new class of robust Kalman filtering problem is addressed for time-varying linear systems. It is assumed that a noise corrupted observation of the deterministic measurement matrix be only available for filtering. Aside from the existing robust Kalman filters (RKFs), the design objective of the proposed RKF is set to achieve the quasi-optimal performance in spite of using the noise contaminated measurement matrix. By solving the stochastic minimisation problem of an indefinite quadratic form, which is an approximated version of the optimal Kalman filtering cost, the suggested RKF recursion is derived. It is also shown that the proposed RKF becomes a unique minimum of the given indefinite cost when the estimation error Gramian matrix is positive definite. The statistical properties of the proposed RKF are analysed by investigating its strong consistency and the asymptotic distribution of estimation errors. Based on these analysis results, the quasi-optimality of the proposed filter is assessed in the sense of least mean-squares estimation. The frequency estimation problem of a noisy sinusoidal signal is provided to verify the presented theory and to demonstrate the effectiveness of the proposed scheme.

Original languageEnglish
Pages (from-to)1226-1236
Number of pages11
JournalIET Control Theory and Applications
Volume3
Issue number9
DOIs
Publication statusPublished - 2009 Sep 15

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Robust Filtering
Kalman Filtering
Kalman filters
Kalman Filter
Estimation Error
Error analysis
Optimal Filtering
Frequency Estimation
Linear Time-varying Systems
Least Mean Square
Frequency estimation
Strong Consistency
Costs
Recursion
Quadratic form
Positive definite
Minimization Problem
Statistical property
Asymptotic distribution
Linear systems

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Human-Computer Interaction
  • Computer Science Applications
  • Control and Optimization
  • Electrical and Electronic Engineering

Cite this

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Non-conservative robust Kalman filtering using a noise corrupted measurement matrix. / Ra, W. S.; Whang, I. H.; Park, Jin Bae.

In: IET Control Theory and Applications, Vol. 3, No. 9, 15.09.2009, p. 1226-1236.

Research output: Contribution to journalArticle

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