A Robust Recursive Filter for Nonlinear Systems with Correlated Noises, Packet Losses, and Multiplicative Noises

作者：Qian, Hua Ming; Huang, Wei^*; Liu, Biao; Shen, Chen

来源：Mathematical Problems in Engineering, 2014, 2014: 457536.

DOI：10.1155/2014/457536

• Correlated noise
• Covariance matrices
• Independent Bernoulli random variables
• Measurement Noise
• Multiplicative noise
• Recursive filters
• Robust filtering
• State prediction

A robust filtering problem is formulated and investigated for a class of nonlinear systems with correlated noises, packet losses, and multiplicative noises. The packet losses are assumed to be independent Bernoulli random variables. The multiplicative noises are described as random variables with bounded variance. Different from the traditional robust filter based on the assumption that the process noises are uncorrelated with the measurement noises, the objective of the addressed robust filtering problem is to design a recursive filter such that, for packet losses and multiplicative noises, the state prediction and filtering covariance matrices have the optimized upper bounds in the case that there are correlated process and measurement noises. Two examples are used to illustrate the effectiveness of the proposed filter.

• 出版日期2014
• 单位哈尔滨工程大学