Robust Smoothing for Discrete-Time Uncertain Nonlinear Systems
Abstract
This paper derives recursion equations for a robust smoothing problem for a class of nonlinear systems with uncertainties in modeling and exogenous noise sources. The systems considered operate in discrete-time and the uncertainties are modeled in terms of a sum quadratic constraint. The robust smoothing problem is solved in terms of a forward-time and a reverse-time filter. Both these filters are formulated in terms of set-valued state estimators and are recast into subsidiary optimal control problems. These optimal control problems are described in terms of discrete-time Hamilton-Jacobi-Bellman equations, whose approximate solutions lead to recursive Riccati difference equations, filter state equations, and level shift scalar equations for the forward-time and the reverse-time filters.
Cite
@article{arxiv.1303.6421,
title = {Robust Smoothing for Discrete-Time Uncertain Nonlinear Systems},
author = {Abhijit G. Kallapur and Ian R. Petersen},
journal= {arXiv preprint arXiv:1303.6421},
year = {2013}
}
Comments
7 pages, 1 figure. A conference version of this paper has been accepted for publication at the 2013 Asian Control Conference to be held in Turkey in June 2013