The Transactions of the Korean Institute of Electrical Engineers A (대한전기학회논문지:전력기술부문A)

The Korean Institute of Electrical Engineers (대한전기학회)
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Design of Suboptimal Robust Kalman Filter via Linear Matrix Inequality

선형 행렬 부등식을 이용한 준최적 강인 칼만 필터의 설계

  • 진승희 (연세대 전기 및 컴퓨터공학과) ;
  • 윤태성 (창원대 전기공학과) ;
  • 박진배 (연세대 전기 및 컴퓨터공학과)
  • Published : 1999.05.01
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Abstract

This paper formulates the suboptimal robust Kalman filtering problem into two coupled Linear Matrix Inequality (LMI) problems by applying Lyapunov theory to the augmented system which is composed of the state equation in the uncertain linear system and the estimation error dynamics. This formulations not only provide the sufficient conditions for the existence of the desired filter, but also construct the suboptimal robust Kalman filter. The proposed filter can guarantee the optimized upper bound of the estimation error variance for uncertain systems with parametric uncertainties in both the state and measurement matrices. In addition, this paper shows how the problem of finding the minimizing solution subject to Quadratic Matrix Inequality (QMI), which cannot be easily transformed into LMI using the usual Schur complement formula, can be successfully modified into a generic LMI problem.

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References

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