Robust filtering in continuous systems with random jump parameters
The robust filtering synthesis algorithm, which determine the state vector estimates of continuous-time linear dynamical systems withMarkovian jumping parameters is considered. Transmission coefficients of filter are offered to choose on the minimum of sum tracecovariance matrix of filtering error and weighted innovation process covariance with probabilities of the state jumping parameter averaging.The conditions are obtained, which ensure the asymptotic stability of robust filter for the time-invariant system.
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Authors
| Name | Organization | |
| Lomakina S.S. | Tomsk State University | loman_sev@mail.ru |
| Smagin V.I. | Tomsk State University | vsm@fpmk.tsu.ru |
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