Robust filtering for a class of nonlinear stochastic systems with probability constraints
- 作者: Ma L.1, Wang Z.2,3, Lam H.4, Alsaadi F.E.3, Liu X.2
-
隶属关系:
- School of Automation
- Brunel University London
- King Abdulaziz University
- King’s College London, Strand Campus
- 期: 卷 77, 编号 1 (2016)
- 页面: 37-54
- 栏目: Topical Issue
- URL: https://journals.rcsi.science/0005-1179/article/view/150190
- DOI: https://doi.org/10.1134/S0005117916010033
- ID: 150190
如何引用文章
详细
This paper is concerned with the probability-constrained filtering problem for a class of time-varying nonlinear stochastic systems with estimation error variance constraint. The stochastic nonlinearity considered is quite general that is capable of describing several well-studied stochastic nonlinear systems. The second-order statistics of the noise sequence are unknown but belong to certain known convex set. The purpose of this paper is to design a filter guaranteeing a minimized upper-bound on the estimation error variance. The existence condition for the desired filter is established, in terms of the feasibility of a set of difference Riccati-like equations, which can be solved forward in time. Then, under the probability constraints, a minimax estimation problem is proposed for determining the suboptimal filter structure that minimizes the worst-case performance on the estimation error variance with respect to the uncertain second-order statistics. Finally, a numerical example is presented to show the effectiveness and applicability of the proposed method.
作者简介
Lifeng Ma
School of Automation
编辑信件的主要联系方式.
Email: malifeng@njust.edu.cn
中国, Nanjing
Zidong Wang
Brunel University London; King Abdulaziz University
Email: malifeng@njust.edu.cn
英国, Uxbridge, Middlesex; Jeddah
Hak-Keung Lam
King’s College London, Strand Campus
Email: malifeng@njust.edu.cn
英国, London
Fuad Alsaadi
King Abdulaziz University
Email: malifeng@njust.edu.cn
沙特阿拉伯, Jeddah
Xiaohui Liu
Brunel University London
Email: malifeng@njust.edu.cn
英国, Uxbridge, Middlesex
补充文件
