Robust Kalman filtering for continuous-time systems with discrete-time measurements. (English) Zbl 0936.93048

Shi, Peng

IMA J. Math. Control Inf. 16, No. 3, 221-232 (1999).

The paper considers linear stochastic systems with continuous-time state dynamics and discrete-time observation process. The filtering problem for the case of time-varying norm bounded parameter uncertainties in the state matrix is studied. A robust Kalman filtering algorithm is proposed which guarantees a bound for the estimation error covariance which is uniform in the parameter uncertainties. A necessary and sufficient condition for the existence of the Kalman filter for discrete-time observations is also provided.

Reviewer: G.Di Masi (Padova)

MSC:

93E11

Filtering in stochastic control theory

Keywords:

Kalman filtering; uncertain systems; continuous-discrete filtering; Riccati equation