带乘性噪声系统的最优方差约束鲁棒状态估计算法

Optimal Variance-Constrained Robust State Estimation Algorithm for Systems with Multiplicative Noise

带乘性噪声系统由于其广泛的适用性,一直成为研究的热点。针对带乘性噪声系统的鲁棒状态估计算法进行研究,利用线性矩阵不等式的方法,讨论状态方程中含有范数有界不确定性参数的带乘性噪声系统的方差约束鲁棒状态估计器存在的条件,并针对此类带乘性噪声系统推导出1套方差约束鲁棒状态估计算法以及最优方差约束鲁棒状态估计算法。仿真结果验证算法的有效性。

The system with multiplicative noise, due to its extensive applicability, has become the research focus. Using the method of linear matrix inequality, this paper discusses the existence condition of the variance constrained robust state estimator for a class of system with multiplicative noise which has deterministic norm-bounded uncertainties. A robust state estimation algorithm with the provided con- strained variance and an optimal variance-constrained robust state estimation algorithm for this kind of system are presented in the terms of linear matrix inequalities. Simulation results are given to show the effectiveness of the algorithm.