Interval Kalman filter enhanced by positive definite upper bounds

Tuan Anh Tran 1 Carine Jauberthie 1 Françoise Le Gall 1 Louise Travé-Massuyès 1
1 LAAS-DISCO - Équipe DIagnostic, Supervision et COnduite
LAAS - Laboratoire d'analyse et d'architecture des systèmes [Toulouse]
Abstract : A method based on the interval Kalman filter for discrete uncertain linear systems is presented. The system under consideration is subject to bounded parameter uncertainties not only in the state and observation matrices, but also in the covariance matrices of Gaussian noises. The gain matrix provided by the filter is optimized to give a minimal upper bound on the state estimation error covariance for all admissible uncertainties. The state estimation is then determined by using interval analysis in order to enclose the set of all possible solutions with respect to the classical Kalman filtering structure.
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Conference papers
IFAC World Congrès, Jul 2017, Toulouse, France. 6p., 2017
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Tuan Anh Tran, Carine Jauberthie, Françoise Le Gall, Louise Travé-Massuyès. Interval Kalman filter enhanced by positive definite upper bounds. IFAC World Congrès, Jul 2017, Toulouse, France. 6p., 2017. 〈hal-01561951〉

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