Article ID: | iaor20112620 |
Volume: | 72 |
Issue: | 2 |
Start Page Number: | 377 |
End Page Number: | 392 |
Publication Date: | Feb 2011 |
Journal: | Automation and Remote Control |
Authors: | Semenikhin V, Pankov R, Platonov N |
Keywords: | Kalman filter, stochastic linear programme |
A technique to construct the robust Kalman filter for process estimation in the difference linear stationary stochastic system with an unknown covariance observation error matrix was developed. Consideration was given to the algorithm of constructing the set of permissible covariance matrices from a priori statistical data. A numerical method for solution of the general minimax optimization problem was proposed; and on its basis an iterative algorithm to calculate the robust filter parameters was developed, and its convergence was proved. Results of the numerical experiment were presented.