Robust stability analysis of Kalman-Bucy filter under parametric and noise uncertainties
Bor‐Sen Chen, Tay-Yuh Dong · International Journal of Control · 1988
The linear Kalman-Bucy filter with both uncertain second-order statistical noise properties and uncertain system model parameters is considered. We investigate the conditions for robust stability based on the upper norm-bound of noise and parametrical uncertainties. Saddlepoint theory and the Gronwall lemma are employed to solve this problem.