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Zbl 0877.93050
Bolzern, P.; Colaneri, P.; De Nicolao, G.
Optimal design of robust predictors for linear discrete-time systems.
(English)
[J] Syst. Control Lett. 26, No.1, 25-31 (1995). ISSN 0167-6911

Summary: The one-step-ahead prediction problem for systems subject to parameter uncertainty in the system dynamics and noise statistics is considered. The objective is the design of a robust predictor that minimizes an upper bound of the error covariance. Sufficient and necessary conditions for the existence of such an optimal robust estimator are given. The computation of the predictor is based on the stabilizing solution of a suitable $H_{\infty}$-type Riccati equation. In the uncertainty-free case the robust predictor reduces to the standard Kalman predictor.
MSC 2000:
*93B51 Design techniques in systems theory
93E11 Filtering in stochastic control
93B36 $H^\infty$-control
93C55 Discrete-time control systems

Keywords: Linear systems; Discrete-time systems; Robust filtering; Prediction; Riccati equation

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