Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters 论文

详细信息

发表期刊/会议

IEEE Transactions on Automatic Control

发表日期

1999-01-01

发表年份

1999

摘要

Studies the problem of Kalman filtering for a class of uncertain linear continuous-time systems with Markovian jumping parameters. The system under consideration is subjected to time-varying norm-bounded parameter uncertainties in the state and measurement equations. Stochastic quadratic stability of the above system is analyzed. A state estimator is designed such that the covariance of the estimation error is guaranteed to be within a certain bound for all admissible uncertainties, which is in terms of solutions of two sets of coupled algebraic Riccati equations.