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- W2045940545 abstract "This paper deals with the robust minimum variance filtering problem for linear systems subject to norm-bounded parameter uncertainty in both the state and the output matrices of the state-space model. The problem addressed is the design of linear filters having an error variance with a guaranteed upper bound for any allowed uncertainty. Two methods for designing robust filters are investigated. The first one deals with constant parameter uncertainty and focuses on the design of steady-state filters that yield an upper bound to the worst-case asymptotic error variance. This bound depends on an upper bound for the power spectrum density of a signal at a specific point in the system, and it can be made tighter if a tight bound on the latter power spectrum can be obtained. The second method allows for time-varying parameter uncertainty and for general time-varying systems and is more systematic. We develop filters with an optimized upper bound for the error variance for both finite and infinite horizon filtering problems." @default.
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- W2045940545 date "1995-01-01" @default.
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- W2045940545 title "Robust minimum variance filtering" @default.
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- W2045940545 doi "https://doi.org/10.1109/78.482099" @default.
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