TY - GEN
T1 - Improving the robustness of stationary kalman filter via parametric design
AU - Daley, Steve
AU - Wang, Hong
PY - 1993
Y1 - 1993
N2 - This paper presents a novel design approach for a robust sub-optimal Kalman filter using parametric eigenstructure placement. Initially, a system without model uncertainty is considered, and a condition for the parametrically designed filter to be optimal is obtained. It is shown, under this condition, that there is a subset of the parametrically designed gain matrices which will also lead to a Kalman filter. For the system with structured model uncertainty, a performance functional index is constructed in which the penalty terms to both the sensitivity and the non-optimality of the filter are included. A parametrically designed gain matrix is then evaluated via standard minimisation and the so-obtained filter is shown to be sub-optimal and more robust than Kalman filter.
AB - This paper presents a novel design approach for a robust sub-optimal Kalman filter using parametric eigenstructure placement. Initially, a system without model uncertainty is considered, and a condition for the parametrically designed filter to be optimal is obtained. It is shown, under this condition, that there is a subset of the parametrically designed gain matrices which will also lead to a Kalman filter. For the system with structured model uncertainty, a performance functional index is constructed in which the penalty terms to both the sensitivity and the non-optimality of the filter are included. A parametrically designed gain matrix is then evaluated via standard minimisation and the so-obtained filter is shown to be sub-optimal and more robust than Kalman filter.
UR - http://www.scopus.com/inward/record.url?scp=0027882770&partnerID=8YFLogxK
U2 - 10.23919/acc.1993.4793003
DO - 10.23919/acc.1993.4793003
M3 - Conference contribution
AN - SCOPUS:0027882770
SN - 0780308611
SN - 9780780308619
T3 - American Control Conference
SP - 950
EP - 951
BT - American Control Conference
PB - Publ by IEEE
T2 - Proceedings of the 1993 American Control Conference Part 3 (of 3)
Y2 - 2 June 1993 through 4 June 1993
ER -