Robust Kalman filtering via Krein space estimation

T. H. Lee, W. S. Ra, T. S. Yoon, J. B. Park

Research output: Contribution to journalArticle

34 Citations (Scopus)

Abstract

A robust Kalman filter is proposed for the discrete-time system with norm-bounded parametric uncertainties. The uncertainties are described by the energy bound constraint, i.e. the sum quadratic constraint (SQC). It is shown that the SQC can be converted into an indefinite quadratic cost function to be minimised in the Krein space, and it is found that the Krein space Kalman filter is a solution of the minimisation problem. After introducing a Krein space state-space model, which includes the uncertainty, one can easily write a robust version of the Krein space Kalman filter by modifying the measurement matrix and the variance of measurement noises in the original Krein space Kalman filter. Since the resulting robust Kalman filter has the same recursive structure as a conventional Kalman filter, a robust filtering scheme can be readily designed using the proposed method. A numerical example demonstrates that the proposed filter achieves robustness against parameter variation and improvement in performance when compared with a conventional Kalman filter and an existing robust Kalman filter, respectively.

Original languageEnglish
Pages (from-to)59-64
Number of pages6
JournalIEE Proceedings: Control Theory and Applications
Volume151
Issue number1
DOIs
Publication statusPublished - 2004 Jan 1

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Kalman filters
noise measurement
norms
Cost functions
costs
filters
optimization
matrices
Uncertainty

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Instrumentation
  • Electrical and Electronic Engineering

Cite this

Lee, T. H. ; Ra, W. S. ; Yoon, T. S. ; Park, J. B. / Robust Kalman filtering via Krein space estimation. In: IEE Proceedings: Control Theory and Applications. 2004 ; Vol. 151, No. 1. pp. 59-64.
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Robust Kalman filtering via Krein space estimation. / Lee, T. H.; Ra, W. S.; Yoon, T. S.; Park, J. B.

In: IEE Proceedings: Control Theory and Applications, Vol. 151, No. 1, 01.01.2004, p. 59-64.

Research output: Contribution to journalArticle

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