具有H∞误差界的鲁棒最小方差滤波

Robust Minimum Variance Filtering with an H∞ Error Bound

中文关键词  H∞范数  最小方差滤波  代数Riccati方程  鲁棒性

英文关键词  H∞ norm  minimum variance filtering  algebraic Riccati equation  robustness

中文摘要

      本文研究了含有范数有界参数不确定的线性连续系统在未建模外部干扰信号作用时的鲁棒最小方差滤波问题。给出了最坏情形H∞性能指标提供了一个最优上界。

英文摘要

      This paper studies the robust minimum variance filtering problem for linear continuous-time systems that are subjected to norm-bounded parameter uncertainty and impinged by unmodelled external disturbances. An upper bound for the worst-case H2 performance index is obtained under the condition of satisfying a prespecified H∞estimation error constraint, and the optimal filter is designed in the sense of minimizing the bound. The filter derived is guaranteed to satisfy a prespecified H∞ error bound for all admissible parameter uncertainties, while providing an optimized bound for the worst-case H2 performance.