Robust ǫ-contaminated filter for discrete-time systems
Résumé
—The robust filtering problem for uncertain discrete-time systems is treated in this paper. An ǫ-contaminated framework is adopted to design the robust filter in presence of model uncertainties. The result is presented in term of Toeplitz matrix equations. The proposed approach does not require a formal modelling of uncertainties. Meanwhile, the ǫ-contaminated robust filter is equivalent to the minimum variance filter with a stochastic representation of the uncertainties. An example shows the effectiveness of the approach.