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Recursive robust filter for discrete-time State-space linear systems

Grant number: 13/06521-2
Support type:Scholarships in Brazil - Scientific Initiation
Effective date (Start): June 01, 2013
Effective date (End): January 31, 2014
Field of knowledge:Engineering - Electrical Engineering
Principal Investigator:Marco Henrique Terra
Grantee:Guilherme Machado Gagliardi
Home Institution: Escola de Engenharia de São Carlos (EESC). Universidade de São Paulo (USP). São Carlos , SP, Brazil

Abstract

This project consists of the study of robust optimum estimates for discrete-time state-space linear dynamic systems which are subject to parametric uncertainties. The development of the quadratic functional which is proposed for the deduction of these estimates is based upon the combination of the techniques of regularized least squares and penalty functions. The Kalman robust estimates and the corresponding Riccati equations are obtained in a more general formulation, as an extension of the well-known results from the literature. Recursive algorithms of the filtered and predictive estimates, along with the corresponding Riccati equations, will be reviewed. The proofs of stability and convergence of the Kalman filter for nominal and uncertain systems will be analyzed. (AU)