Robust Kalman filter design for discrete time-delay systems (Q1862842)

The system considered is subject to time varying time-bounded parameter uncertainty in both the state and output matrices. A new methodology for designing a linear filter, such that the error variance of the filter is guaranteed to be within a certain upper bound for any allowed uncertainty and time delay, is developed. The solution is given in terms of two Riccati equations. Robust filtering for multiple time-delay systems is also investigated. The results are illustrated using two numerical examples.