Minimax Filter for Continuous-Time State Space Models

연속형 상태 방정식에 대한 최소최대 필터

  • Kwon, Wook-Hyun (School of Electrical Engineering & Computer Science, Seoul National University) ;
  • Han, Soo-Hee (School of Electrical Engineering & Computer Science, Seoul National University)
  • 권욱현 (서울대학교 전기.컴퓨터 공학부) ;
  • 한수희 (서울대학교 전기.컴퓨터 공학부)
  • Published : 2001.07.18

Abstract

In this paper, a new robust deadbeat minimax FIR filter (DMFF) is proposed for continuous-time state space signal models. Linearity, deadbeat property, FIR structure, and independence of the initial state information will be required in advance, in addition to a performance index of the worst case gain between the disturbance and the current estimation error. The proposed DMFF is obtained by directly minimizing a performance index with the deadbeat constraint. The proposed DMFF is represented first in a standard FIR form and then in an iterative form. The DMFF will be shown to be used also for the IIR structure. It is shown that the DMFF is similar in form to the existing receding horizon unbiased FIR filter (RHUFF) with some noise covariances. The former is a deterministic filter, while the latter is a stochastic filter.

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