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Optimal robust filtering for a linear uncertain systems with multiple delayed measurements

ZHAO Hong-guo;ZHANG Huan-shui;ZHANG Cheng-hui   

  1. School of Control Science and Engineering,Shandong University,Jinan 250061,China
  • Received:2007-04-19 Revised:1900-01-01 Online:2007-08-24 Published:2007-08-24
  • Contact: ZHAO Hong-guo

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Abstract: The optimal robust filtering for linear discrete-time uncertain systems with multiple delayed measurements was studied. A novel approach was presented based on the reorganized innovation theory and projection in Hilbert space. The calculation of this new method involves solving multiple Riccati difference equations of the same dimensions as the original systems and one Lyapunov equation. Compared with conventional state augmentation, the presented approach greatly lessens the computational demand. A numerical example and its simulation results are given to show the effectiveness of the proposed method.

Key words: projection, Riccati equation, Lyapunov equation , innovation

CLC Number: 

  • TP13
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