Robust Recursive Least-Squares Wiener Filter for Linear Continuous-Time Uncertain Stochastic Systems

Abstract

For linear continuous-time systems with uncertainties in the system and observation matrices, an original robust RLS Wiener filter is designed in this study. The robust RLS Wiener filter does not assume norm-bounded uncertainty for the system and observation matrices, in contrast to the robust Kalman filter. In the design of the robust RLS Wiener filter, the degraded signal, affected by the uncertainties in the system and observation matrices, is modeled by an autoregressive (AR) model. The system and observation matrices for the degraded signal are formulated from the relationship between the AR model of the degraded signal and the state-space model. Estimation formulas for the system and observation matrices are proposed in Section 2. The robust filtering problem is introduced based on the minimization of the mean-square value of the filtering errors for the system states. The robust filtering estimate is given as an integral transformation of the degraded observations using the impulse response function. The integral equation that an optimal impulse response function satisfies is given in Section 3. Theorem 1 presents a robust RLS Wiener filtering algorithm starting from this integral equation. The proposed robust RLS Wiener filter outperforms the existing robust Kalman filter regarding estimate accuracy, as shown by a numerical simulation example.