Comments on “Finite-Horizon Robust Kalman Filtering for Uncertain Discrete Time-Varying Systems With Uncertain-Covariance White Noises”
Rodrigo Fontes Souto, João Y. Ishihara · IEEE Signal Processing Letters · 2010
This comment presents an enhancement over the robust predictor recently developed in the work by Dong and You. Besides uncertainties in both state and output matrices, the proposed design also allows dynamic and measurement noises to be with unknown time-variant expected values and to be correlated with unknown time-variant cross-covariance. The enhanced predictor leads to a less conservative design which is confirmed by a numerical example.