Interval Kaiman filtering

The classical Kaiman filtering technique is extended to interval linear systems with the same statistical assumptions on noise, for which the classical technique is no longer applicable. Necessary interval analysis, particularly the notion of interval expectation, is reviewed and introduced. The interval Kaiman filter (IKF) is then derived, which has the same structure as the classical algorithm, using no additional analysis or computation from such as H°° -mathematics. A suhoptimal IKF is suggested next, for the purpose of real-time Implementation Finally, computer simulations are shown to compare the new interval Kaiman filtering algorithm with the classical Kaiman filtering scheme and some other existing robust Kaiman filtering methods. © 1997 IEEE.