File(s) not publicly available

Robust extended Kalman filter of discrete-time Markovian jump nonlinear system under uncertain noise

journal contribution
posted on 06.12.2017, 00:00 by J Zhu, J Park, KS Lee, Maksym SpiryaginMaksym Spiryagin
This paper examines the problem of robust extended Kalman fIlter design for discrete-time Markovian jump nonlinear systems with noise uncertainty. Because of the existence of stochastic Markovian switching, the state and measurement equations of underlying system are subject to uncertain noise whose covariance matrices are time-varying or un-measurable instead of stationary. First, based on the expression of fIltering performance deviation, admissible uncertainty of noise covariance matrix is given. Secondly, two forms of noise uncertainty are taken into account: Non-Structural and Structural. It is proved by applying game theory that this fIlter design is a robust mini-max fIlter. A numerical example shows the validity of the method.

Funding

Category 1 - Australian Competitive Grants (this includes ARC, NHMRC)

History

Volume

22

Issue

6

Start Page

1132

End Page

1139

Number of Pages

8

ISSN

1738-494X

Location

Germany

Publisher

Springer

Language

en-aus

Peer Reviewed

Yes

Open Access

No

External Author Affiliations

Hanyang Taehakkyo; Not affiliated to a Research Institute;

Era Eligible

Yes

Journal

Journal of mechanical science and technology.