Minimum-sensitivity filter for linear time-invariant stochastic systems with uncertain parameters
R. Chung, Pierre R. Belanger · IEEE Transactions on Automatic Control · 1976
A trajectory sensitivity approach is taken to the design of a Kalman filter for a system with uncertain parameters. A two-point boundary value problem (TPBVP) is formulated, where the performance index depends on the variances of the parameter deviations. A suboptimal algorithm is also developed. An example shows that estimation errors may be reduced considerably from those generated by a Kalman filter design for the nominal parameter values.