Robust Kalman Filtering: Asymptotic Analysis of the Least Favorable Model

被引：0
|
作者：
Zorzi, Mattia [1 ]
Levy, Bernard C. [2 ]
机构：
[1] Univ Padua, Dipartimento Ingn Informaz, Via Gradenigo 6-B, I-35131 Padua, Italy
[2] Univ Calif Davis, Dept Elect & Comp Engn, 1 Shields Ave, Davis, CA 95616 USA
来源：
2018 IEEE CONFERENCE ON DECISION AND CONTROL (CDC) | 2018年
关键词：
DISCRETE-TIME MATRIX; RICCATI EQUATION; CONVERGENCE;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We consider a robust filtering problem where the robust filter is designed according to the least favorable model belonging to a ball about the nominal model. In this approach, the ball radius specifies the modeling error tolerance and the least favorable model is computed by performing a Riccati-like backward recursion. We show that this recursion converges provided that the tolerance is sufficiently small.
引用
收藏
页码：7124 / 7129
页数：6
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