Robust Kalman Filtering for Uncertain Discrete Time-Varying System with State-Delay

Abstract

In this paper, a robust finite-horizon kalman filter for discrete time-varying uncertain system with constant state-delay both in state and output matrices. The system parameters uncertainties are expected in the state, output and white noise covariance matrices. The upper bound on the estimation error covariance is given and minimized. In addition, the filter parameters state, state delay and gain matrices are optimized to give a minimal upper bound on the estimation error covariance for all admissible uncertainties. A numerical example is presented to illustrate the applicability of this method.