Vertex-dependent filtering of retarded uncertain state-multiplicative noisy systems

E. Gershon, U. Shaked

Research output: Contribution to journalArticlepeer-review

Abstract

The problem of robust H estimation of stochastic, state-delayed, uncertain, linear, discrete-time systems is solved by applying a vertex dependent Lyapunov function. In this problem, a cost function is defined, which is the expected value of the standard H performance index with respect to the uncertain parameters. The optimal estimator is obtained by solving a simple set of linear matrix inequalities (LMIs) for either the case where the filter matrices are constant or for the case where these matrices are gain scheduled. The solutions to the corresponding minimum error variance estimation problems are also obtained for the nominal and the uncertain cases, where an additional set of conditions is introduced that guarantees the minimization of the estimation error variance. Two examples are given. The first is a numerical example that demonstrates the advantage of the new design method. The second is an example of a practical nature that is taken from the field of guidance control and estimation.

Original languageEnglish
Pages (from-to)6978-6993
Number of pages16
JournalInternational Journal of Robust and Nonlinear Control
Volume30
Issue number16
DOIs
StatePublished - 10 Nov 2020

Keywords

  • gain scheduling
  • retarded stochastic systems
  • robust filtering

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