PERFORMANCE ROBUSTNESS ANALYSIS OF KALMAN FILTER FOR LINEAR DISCRETE-TIME-SYSTEMS UNDER PLANT AND NOISE UNCERTAINTY

The performance robustness of a prediction-type Kalman filter is consi dered for linear discrete-time systems with structured plant uncertain ty and noise uncertainty. Two methods are proposed to achieve upper an d lower bounds on the mean square of the estimation error, measuring t he effect of the uncertainty on the performance of the filter. An illu strative example is given.