Robust stability analysis of Kalman-Bucy filter under parametric and noise uncertainties
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Publication:3809701
DOI10.1080/00207178808906324zbMath0659.93065OpenAlexW2096639072MaRDI QIDQ3809701
Publication date: 1988
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207178808906324
robust stabilityGronwall lemmalinear Kalman-Bucy filterSaddlepoint theoryuncertain second-order statistical noiseuncertain system model parameters
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Multivariable systems, multidimensional control systems (93C35) Linear systems in control theory (93C05) Stochastic stability in control theory (93E15)
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Cites Work
- Recursive fading memory filtering
- Exponential data weighting in the Kalman-Bucy filter
- Bounding filter: A simple solution to lack of exact a priori statistics
- Minimax state estimation for linear stochastic systems with noise uncertainty
- The Kalman filter: A robust estimator for some classes of linear quadratic problems
- <tex>L_infty</tex>-stability criteria for interconnected systems using exponential weighting
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