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Finite-Time Filtering for Linear Continuous Time-Varying Systems with Uncertain ObservationsDOI: 10.1155/2012/710904 Abstract: This paper is concerned with the finite-time ∞ filtering problem for linear continuous time-varying systems with uncertain observations and ℒ2-norm bounded noise. The design of finite-time ∞ filter is equivalent to the problem that a certain indefinite quadratic form has a minimum and the filter is such that the minimum is positive. The quadratic form is related to a Krein state-space model according to the Krein space linear estimation theory. By using the projection theory in Krein space, the finite-time ∞ filtering problem is solved. A numerical example is given to illustrate the performance of the ∞ filter.
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