Robust Kalman filtering for uncertain discrete‐time linear systems

Abstract

Abstract This paper presents a steady‐state robust state estimator for a class of uncertain discrete‐time linear systems with norm‐bounded uncertainty. It is shown that if the system satisfies some particular structural conditions and if the uncertainty has a specific structure, the gain of the robust estimator (which assures a guaranteed cost) can be calculated using a formula only involving the original system matrices. Among the conditions the system has to satisfy, the strongest one relies on a minimum phase argument. It is also shown that under the assumptions considered, the robust estimator is in fact the Kalman filter for the nominal system. Copyright © 2003 John Wiley & Sons, Ltd.