关键词: 线性离散系统 , 约束方差估计 , H∞状态估计

Abstract: The problem of state estimation for linear discrete-time stochastic systems with estimation error variance and H∞ morm constraints is considered. The aim of this problem is to design the filter gain such that the steady-state estimation error variance for each state is not greater than the prespecified value，and the transfer function from disturbances to error states satisfies the prespecified H∞ norm constraint, simultenous- Iy. The conditions for the existence of desired filter gains are given and the analytical expression of such filter gains is also presented. An example concerning the problem of tracking maneuverable targets is provided to demonstrate the directness and effective?ness of the present design methodology.

Key words: linear discrete-time stochastic systems , constrained variance estimation , H∞ norm state estimation