Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements

Ming Zeng; Jianxin Feng; Zhiwei Yu

doi:10.1109/ICICIP.2011.6008293

Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements

Ming Zeng^*
, Jianxin Feng
, Zhiwei Yu

^*Corresponding author for this work

School of Astronautics

Harbin Institute of Technology

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

4 Scopus citations

Abstract

In this paper, the problem of optimal robust Kalman-type recursive filter design is studied for a class of uncertain systems with finite-step autocorrelated process noises and missing measurements. The system model and measurement model under consideration are both subject to stochastic uncertainties or multiplicative noises. The finite-step autocorrelated process noises are characterized by the covariances between different time instant. The missing measurements are described by a binary switching sequence that obeys a conditional probability distribution. A robust Kalman-type recursive filter is developed in this paper. The proposed robust Kalman-type recursive filter is optimal in the minimum variance sense. Finally, simulation results show the effectiveness of the proposed method.

Original language	English
Title of host publication	Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011
Pages	495-498
Number of pages	4
Edition	PART 1
DOIs	https://doi.org/10.1109/ICICIP.2011.6008293
State	Published - 2011
Event	2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011 - Harbin, China Duration: 25 Jul 2011 → 28 Jul 2011

Publication series

Name	Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011
Number	PART 1

Conference

Conference	2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011
Country/Territory	China
City	Harbin
Period	25/07/11 → 28/07/11

Access to Document

10.1109/ICICIP.2011.6008293

Cite this

Zeng, M., Feng, J., & Yu, Z. (2011). Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements. In Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011 (PART 1 ed., pp. 495-498). Article 6008293 (Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011; No. PART 1). https://doi.org/10.1109/ICICIP.2011.6008293

Zeng, Ming ; Feng, Jianxin ; Yu, Zhiwei. / Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements. Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011. PART 1. ed. 2011. pp. 495-498 (Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011; PART 1).

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title = "Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements",

abstract = "In this paper, the problem of optimal robust Kalman-type recursive filter design is studied for a class of uncertain systems with finite-step autocorrelated process noises and missing measurements. The system model and measurement model under consideration are both subject to stochastic uncertainties or multiplicative noises. The finite-step autocorrelated process noises are characterized by the covariances between different time instant. The missing measurements are described by a binary switching sequence that obeys a conditional probability distribution. A robust Kalman-type recursive filter is developed in this paper. The proposed robust Kalman-type recursive filter is optimal in the minimum variance sense. Finally, simulation results show the effectiveness of the proposed method.",

author = "Ming Zeng and Jianxin Feng and Zhiwei Yu",

year = "2011",

doi = "10.1109/ICICIP.2011.6008293",

language = "英语",

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series = "Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011",

number = "PART 1",

pages = "495--498",

booktitle = "Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011",

edition = "PART 1",

note = "2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011 ; Conference date: 25-07-2011 Through 28-07-2011",

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Zeng, M, Feng, J & Yu, Z 2011, Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements. in Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011. PART 1 edn, 6008293, Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011, no. PART 1, pp. 495-498, 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011, Harbin, China, 25/07/11. https://doi.org/10.1109/ICICIP.2011.6008293

Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements. / Zeng, Ming; Feng, Jianxin; Yu, Zhiwei.
Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011. PART 1. ed. 2011. p. 495-498 6008293 (Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011; No. PART 1).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Zeng M, Feng J, Yu Z. Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements. In Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011. PART 1 ed. 2011. p. 495-498. 6008293. (Proceedings of the 2nd International Conference on Intelligent Control and Information Processing, ICICIP 2011; PART 1). doi: 10.1109/ICICIP.2011.6008293

Optimal robust Kalman-type recursive filter for uncertain systems with finite-step autocorrelated process noises and missing measurements

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