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Robust Kalman Filtering: Asymptotic Analysis of the Least Favorable Model
- Source :
- CDC
- Publication Year :
- 2018
- Publisher :
- IEEE, 2018.
-
Abstract
- We consider a robust filtering problem where the robust filter is designed according to the least favorable model belonging to a ball about the nominal model. In this approach, the ball radius specifies the modeling error tolerance and the least favorable model is computed by performing a Riccati-like backward recursion. We show that this recursion converges provided that the tolerance is sufficiently small.
- Subjects :
- 0209 industrial biotechnology
010102 general mathematics
02 engineering and technology
Kalman filter
01 natural sciences
Robust filtering
020901 industrial engineering & automation
Optimization and Control (math.OC)
Error tolerance
FOS: Mathematics
Applied mathematics
Ball (mathematics)
0101 mathematics
Mathematics - Optimization and Control
Robust filter
Mathematics
Subjects
Details
- Database :
- OpenAIRE
- Journal :
- 2018 IEEE Conference on Decision and Control (CDC)
- Accession number :
- edsair.doi.dedup.....9480684e5934c1efbbe02e1bc3cfa64d