VARIANCE-ASSIGNMENT BASED ROBUST FILTERING FOR UNCERTAIN SYSTEMS
Jihong Zhu, Guo Zhi · 1999
Uncertainties exist in real systems at large, which may cause filtering to disconverge. A robust filter with specified upper error variance is addressed by the paper. Two Riccati equations are used in the algorithm, one is to compensate uncertainties of the system, and the other is to assign upper filtering error variance. Existence conditions and general solutions of the filter are derived, and relations between the proposed filter and steady Kalman filter are discussed essentially.