Minimization of the estimation error of the Kalman filter with an H∞ error bound by Secant method

Bing-Fei Wu*, Hung Hseng Hsu

*Corresponding author for this work

Research output: Contribution to journalConference articlepeer-review

3 Scopus citations

Abstract

Designing a Kalman filter with a constraint on the H norm of the estimation error was first developed by Bernstein and Haddad in 1989. The main result is a sufficient condition for characterizing the Kalman filter. Like the standard Kalman filter, the orthogonal principles are also shown to sustain. Furthermore, the uniqueness, as opposed to the H filter, of the filter is implied by the orthogonal principles. In this paper, an approach to get the minimum energy with a constraint on the H norm of the estimation error is proposed since the original work of Bernstein and Haddad does not, in general, reach the minimum energy of the estimation error. By means of Secant method, the energy of the estimation error can be reduced as minimum as possible, under the condition that the H error bound is still satisfied.

Original languageEnglish
Pages (from-to)1538-1543
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
Volume2
DOIs
StatePublished - 1 Dec 1995
EventProceedings of the 1995 34th IEEE Conference on Decision and Control. Part 1 (of 4) - New Orleans, LA, USA
Duration: 13 Dec 199515 Dec 1995

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