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Robust Kalman Filtering with Perturbation Estimation Process-for Uncertain Systems

섭동 추정 프로세스를 이용한 불확실 시스템에 대한 강인 칼만 필터링 기법

  • 권상주 (한국항공대학교 항공우주 및 기계공학부)
  • Published : 2006.03.01

Abstract

A robust Kalman filtering method for uncertain stochastic systems is suggested by adopting a perturbation estimation process which is to reconstruct total uncertainty with respect to the nominal state transition equation. The predictor and corrector of discrete Kalman filter are reformulated with the perturbation estimator. Successively, the state and perturbation estimation error dynamics and the corresponding error covariance propagation equations are derived as well. Finally we have the recursive algorithm of Combined Kalman Filter-Perturbation Estimator (CKF). The proposed combined Kalman filter-perturbation estimator has the property of integrating innovations and the adaptation capability to system uncertainties. A numerical example is shown to demonstrate the effectiveness of the proposed scheme.

Keywords

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