Anisotropic Filtering Revisited - the Linear Time-Varying Case

摘要

The problem of optimal state estimation of linear discrete-time systems which outputs are measured with an additive whiternnoise is addressed, in a anisotropy norm minimization setup. Such estimation problems are often encountered in target trackingrnproblems where the target dynamics is not necessarily driven by white noise but rather driven by colored signals. The solutionrnto the anisotropy filtering problem is obtained in terms of Difference Linear Matrix Inequalities which is derived using thernRiccati equation which is associated with the anisotropic norm of linear-time-varying systems. An illustrative example is givenrnfrom the field of target tracking.