Journal of Systems Engineering and Electronics

• CONTROL THEORY AND APPLICATION • Previous Articles     Next Articles

Optimal filtering for uncertain systems with stochastic nonlinearities, correlated noises and missing measurements

Shuo Zhang, Yan Zhao*, Min Li, and Jianhui Zhao   

  1. School of Instrument Science and Opto-electronics Engineering, Beihang University, Beijing 100191, China
  • Online:2015-10-24 Published:2010-01-03

Abstract:

The globally optimal recursive filtering problem is studied for a class of systems with random parameter matrices, stochastic nonlinearities, correlated noises and missing measurements. The stochastic nonlinearities are presented in the system model to reflect multiplicative random disturbances, and the additive noises, process noise and measurement noise, are assumed to be one-step autocorrelated as well as two-step cross-correlated A series of random variables is introduced as the missing rates governing the intermittent measurement losses caused by unfavorable network conditions. The aim of the addressed filtering problem is to design an optimal recursive filter for the uncertain systems based on an innovation approach such that the filtering error is globally minimized at each sampling time. A numerical simulation example is provided to illustrate the effectiveness and applicability of the proposed algorithm.