Robust Kalman Filtering for Discrete-Time Time-Varying Systems with Stochastic and Norm-Bounded Uncertainties

[+] Author and Article Information
Mahdi Abolhasani

Department of Electrical Engineering, Imam-Khomeini International University, Qazvin, Iran

Mehdi Rahmani

Department of Electrical Engineering, Imam-Khomeini International University, Qazvin, Iran

1Corresponding author.

ASME doi:10.1115/1.4037777 History: Received January 12, 2017; Revised July 10, 2017


In this paper, a new robust Kalman filter is proposed for discrete-time time-varying linear stochastic systems. The system under consideration is subject to stochastic and norm-bounded uncertainties in all matrices of the system model. In the proposed approach, the filter is first achieved by solving a stochastic min-max optimization problem. Next, we find an upper bound on the estimation error covariance and then by using a linear matrix inequality optimization problem, unknown parameters of the filter are determined such that the obtained upper bound is minimized. Finally, two numerical examples are given to demonstrate the effectiveness and performance of the proposed filtering approach compared to the existing robust filters.

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