Robust Kalman Filter Design for Continuous-Time Systems with Markovian Jumping Parameters

C.-M. Lee and I.-K. Fong (Taiwan)


Markovian, Kalman filter, Algebraic Riccati equations,LMI.


In this paper, the robust Kalman filtering problem for uncertain continuous-time linear systems with Markovian jumping parameters is addressed. The uncertainties are for mulated by linear fractional transformation. After the sys tem stochastic stability is defined, a state estimator design method is developed so that the covariance of estimation er ror is bounded above. A solution method involving a set of coupled Riccati equations is proposed, and then converted into an optimization procedure based on linear matrix in equality.

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