Performance robustness analysis of Kalman filter for linear discrete-time systems under plant and noise uncertainty
Xu Zhang, Arnold Willem Heemink, J.C.H. van Eijkeren · International Journal of Systems Science · 1995
The performance robustness of a prediction-type Kalman filter is considered for linear discrete-time systems with structured plant uncertainty and noise uncertainty. Two methods are proposed to achieve upper and lower bounds on the mean square of the estimation error, measuring the effect of the uncertainty on the performance of the filter. An illustrative example is given