Robust State Estimation for Time-Delay Linear Systems With External Inputs

Abstract

Robust state estimation problem is investigated for discrete-time linear state space models with uncertain parameters, deterministic control input and d-step state delay. Firstly, the original system is transformed into a non-time-delay system based on the method of state augmentation. Then a robust state estimation algorithm is proposed based on the sensitivity penalty method and the derivation is given. Moreover, compared with the standard Kalman filter, this algorithm has similar iterative form and considerable computational complexity. Finally, numerical simulations are utilized to show the effectiveness of this algorithm.

Keywords

• Deterministic control input
• d-step state delay
• robust state estimation
• state augmentation
• sensitivity penalty