LMI-based state estimation for some discrete-time stochastic models
Yvonne Ilke Yaz, Edwin Engin Yaz, Masoud Mohseni · 2002
Linear unbiased full-order state estimation problem for discrete-time models with stochastic parameters and additive finite energy type disturbance signals is reformulated in terms of linear matrix inequalities. Two estimation problems that are considered are the design for: the mean-square bounded estimation error, and the mean-square stochastic version of the suboptimal H/sub /spl infin// estimator. These two designs are shown to apply to both the estimation with random sensor delay and estimation under observation uncertainty for harmonic signals by simulation examples.