Robust finite horizon minimax filtering for discrete-time stochastic uncertain systems


We study a !nite-horizon robust minimax !ltering problem for time-varying discrete-time stochastic uncertain systems. The uncertainty in the system is characterized by a set of probability measures under which the stochastic noises, driving the system, are de!ned. The optimal minimax !lter has been found by applying techniques of risk-sensitive LQG control… (More)
DOI: 10.1016/j.sysconle.2003.11.004


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