Robust Kalman filtering for continuous-time systems with norm-bounded nonlinear uncertainties
P. Shi, C. Yalçın Kaya · IMA Journal of Mathematical Control and Information · 2000
In this paper we study the problem of robust Kalman filtering for a class of uncertain linear continuous-time systems. The system under consideration is subjected to time-varying, norm-bounded, nonlinear parameter uncertainties in state and measurement equations. Stability of the above system is analyzed. 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, which is in terms of solutions of two algebraic Riccati equations.