Robust Kalman filtering for discrete‐time systems with stochastic uncertain time‐varying parameters
Mahdi Abolhasani, Mehdi Rahmani · Electronics Letters · 2016
A robust Kalman filter is proposed for time‐varying discrete‐time linear systems with uncertainties in state, input noise, and measurement matrices. The filter is obtained by solving an optimisation problem such that the upper bound on the variance of estimation error to be minimised for all admissible uncertainties. A numerical example is presented to show the performance of the proposed robust filter.