Robust Kalman-Bucy Filter
Jemin George · IEEE Transactions on Automatic Control · 2012
Development of a robust estimator for uncertain stochastic systems under persistent excitation is presented. The given continuous-time stochastic formulation assumes norm bounded parametric uncertainties and excitations. When there are no system uncertainties, the performance of the proposed robust estimator is similar to that of the Kalman-Bucy filter and the proposed approach asymptotically recovers the desired optimal performance in the presence of uncertainties and or persistent excitation.