Stability of receding horizon Kalman filter in state estimation of linear time-varying systems

2002 ◽  
Author(s):  
J.B.R. do Val ◽  
E.F. Costa
Keyword(s):  
Kalman Filter ◽  
State Estimation ◽  
Linear Time ◽  
Time Varying ◽  
Receding Horizon ◽  
Time Varying Systems

scholarly journals Reduced-order state estimation for linear time-varying systems

2009 ◽  
Vol 11 (6) ◽  
pp. 595-609
Author(s):  
In Sung Kim ◽  
Bruno O. S. Teixeira ◽  
Jaganath Chandrasekar ◽  
Dennis S. Bernstein
Keyword(s):  
State Estimation ◽  
Linear Time ◽  
Time Varying ◽  
Reduced Order ◽  
Time Varying Systems ◽  
Order State

Receding horizon observer for linear time-varying systems

2018 ◽  
Vol 41 (9) ◽  
pp. 2612-2622
Author(s):  
Atif Qayyum ◽  
Muhammad Salman ◽  
Mohammad Bilal Malik
Keyword(s):  
Statistical Convergence ◽  
Linear Time ◽  
Time Varying ◽  
Receding Horizon ◽  
Time Varying Systems ◽  
Feedback Control Systems ◽  
Loop Feedback ◽  
Closed Loop Feedback ◽  
Finite Memory ◽  
Insight Into

In this paper, we present a receding horizon observer for linear time-varying systems. Our main contribution is that known deterministic input has been fully dealt with. This poses considerable challenges for recursive formulation of the filter. The suggested observer can be used in closed-loop feedback control systems. The existing finite memory filters lack this ability. First- and second-order statistical convergence analysis carried out in this paper provide an insight into the stochastic behaviour of the observer. Some examples demonstrate the utility of the proposed filter.

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