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Robust extended Kalman filter of discrete-time Markovian jump nonlinear system under uncertain noise Junhong Park
The Journal of Mechanical Science and Technology, vol. 22, no. 6, pp.1132-1139, 2008
Abstract : This paper examines the problem of robust extended Kalman filter design for discrete -time Markovian jump nonlinear
systems with noise uncertainty. Because of the existence of stochastic Markovian switching, the state and measurement
equations of underlying system are subject to uncertain noise whose covariance matrices are time-varying or
un-measurable instead of stationary. First, based on the expression of filtering performance deviation, admissible uncertainty
of noise covariance matrix is given. Secondly, two forms of noise uncertainty are taken into account: Non-
Structural and Structural. It is proved by applying game theory that this filter design is a robust mini-max filter. A numerical
example shows the validity of the method.
Keyword :
Discrete-time Markovian jump system; Robust Kalman filter; Noise uncertainty
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