Robust Kalman filtering for continuous-time systems with discrete-time measurements
P Shi · IMA Journal of Mathematical Control and Information · 1999
This paper studies the problem of Kalman filtering for a class of uncertain linear continuous-time systems with sampled measurements. The system under consideration is subjected to time-dependent norm-bounded parameter uncertainties in the state matrix. A state estimator is designed such that the covariance of the estimation error is guaranteed to be within a certain bound for all admissible uncertainties. A Riccati-equation approach is proposed to solve the above problem.