Robust vertex-dependent H and H2 estimation for stochastic linear systems

E. Gershon, U. Shaked

Research output: Contribution to journalArticlepeer-review

Abstract

We consider linear continuous-time systems with multiplicative noise and polytopic-type parameter uncertainty, and we address the problems of H and H2 filtering of these systems. These problems are solved by applying a vertex-dependent Lyapunov function that considerably reduces the overdesign associated with the classical design that is based on a single Lyapunov function for the whole parameter range. A new approach of the Finsler lemma is used that decreases the overdesign entailed in the usual derivation of the robust estimation problem. The developed theory is also extended to the robust gain scheduling case where online measurement is used to improve the estimation. Two examples are given that demonstrate the tractability and applicability of the design methods.

Original languageEnglish
Pages (from-to)85-97
Number of pages13
JournalInternational Journal of Robust and Nonlinear Control
Volume29
Issue number1
DOIs
StatePublished - 10 Jan 2019

Keywords

  • gain scheduling estimation
  • multiplicative noise
  • polytopic uncertainties
  • robust filtering

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