On robust Kalman filter for two-dimensional uncertain linear discrete time-varying systems: A least squares method

The robust Kalman filter design problem for two-dimensional uncertain linear discrete time-varying systems with stochastic noises is investigated in this study. First, we prove that the solution to a certain deterministic regularized least squares problem constrained by the nominal two-dimensional system model is equivalent to the generalized two-dimensional Kalman filter. Then, based on this relationship, the robust state estimation problem for two-dimensional uncertain systems with stochastic noises is interpreted as a deterministic robust regularized least squares problem subject to two-dimensional dynamic constraint. Finally, by solving the robust regularized least squares problem and using a simple approximation, a recursive robust two-dimensional Kalman filter is determined. A heat transfer process serves as an example to show the properties and efficacy of the proposed filter. (C) 2018 Elsevier Ltd. All rights reserved.