Robust filter design with time-varying parameter uncertainty and error variance constraints (Q4955110)
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scientific article; zbMATH DE number 1457694
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| English | Robust filter design with time-varying parameter uncertainty and error variance constraints |
scientific article; zbMATH DE number 1457694 |
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Robust filter design with time-varying parameter uncertainty and error variance constraints (English)
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12 June 2000
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robust stability
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time-varying perturbations
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robust-filter design
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optimal filter
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0.8858741521835327
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0.8836243152618408
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0.8774499893188477
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The authors study a linear stochastic system (discrete- or continuous-time) whose parameters are subject to time-varying perturbations (uncertainty) in both the state and measurement equations. The uncertainty in the parameters is such that the system is quadratically stable. An upper bound on the admissible error is specified for each component of the state vector. In this setting, the authors solve the problem of robust filter design by showing that an optimal filter, not necessarily unique, can be obtained from a pair of Riccati equations.
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