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IMA Journal of Mathematical Control and Information 1999 16(3):221-232; doi:10.1093/imamci/16.3.221
© 1999 by Institute of Mathematics and its Applications
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Robust Kalman filtering for continuous-time systems with discrete-time measurements

PENG SHI {dagger}

Centre for Instustrial and Applicable Mathematics, School of Mathematics The University of South Australia, The Levels Campus, Mawson Lakes SA 5095, Australia

This paper studies the problem of Kalman filtering for a class of uncertain linear continuous-time systems with sampled measurements. The system under consideration is subjected to time-dependent norm-bounded parameter uncertainties in the state matrix. 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. A Riccati-equation approach is proposed to solve the above problem.

Keywords: Kalman filtering; quadratic slablility; uncertain systems; sampled-data system; Riccati equation.

{dagger} Email:peng.shi{at}unisa.edu.au


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