Robust Kalman filter design

Xing Zhu, Yeng Chai Soh, Lihua Xie

Abstract: In this paper, the problem of finite and infinite horizon robust Kalman filtering for uncertain discrete-time systems is studied. The system under consideration is subject to time-varying norm-bounded parameter uncertainty in both the state and output matrices. The problem addressed is the design of linear filters having an error variance with a guaranteed upper bound for any allowed uncertainty. A novel technique is developed for robust filter design. This technique gives necessary and sufficient conditions to the design of robust filters over finite and infinite horizon.