1. bookVolume 31 (2021): Issue 2 (June 2021)
Journal Details
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05 Apr 2007
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4 times per year
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English
access type Open Access

An interval Kalman filter enhanced by lowering the covariance matrix upper bound

Published Online: 08 Jul 2021
Page range: 259 - 269
Received: 03 Mar 2020
Accepted: 30 Dec 2020
Journal Details
License
Format
Journal
First Published
05 Apr 2007
Publication timeframe
4 times per year
Languages
English
Abstract

This paper proposes a variance upper bound based interval Kalman filter that enhances the interval Kalman filter based on the same principle proposed by Tran et al. (2017) for uncertain discrete time linear models. The systems under consideration are subject to bounded parameter uncertainties not only in the state and observation matrices, but also in the covariance matrices of the Gaussian noises. By using the spectral decomposition of a symmetric matrix and by optimizing the gain matrix of the proposed filter, we lower the minimal upper bound on the state estimation error covariance for all admissible uncertainties. This paper contributes with an improved algorithm that provides a less conservative error covariance upper bound than the approach proposed by Tran et al. (2017). The state estimates are determined using interval analysis in order to enclose the set of all possible solutions of the classical Kalman filter consistent with the uncertainties.

Keywords

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