Robust weighted fusion Kalman filters under linearly correlated noise and mixed uncertainties of noise variances, multiplicative noises, and multiple networked inducements

Abstract

AbstractThe paper solves the robust weighted fusion Kalman filtering problem for systems with linearly correlated noise and mixed uncertainties of noise variances, multiplicative noises, and multiple networked inducements including missing measurements, packets dropouts, and two‐step random measurement delays. It is assumed that system noise variances are uncertain but bounded above, and the other four uncertainties are compensated to fictitious white noise by the proposed model‐transformation method. For the transformed local multimodel system with correlated fictitious noise, the robust local time‐varying recursive Kalman filters are presented by decorrelation technique and minimax robust filtering principle. Then the six weighted fusion robust Kalman filters are presented in a unified form. The robustness of local and fused robust Kalman filters is proved by the extended Lyapunov equation approach, matrix factorization, and elementary transformation. Further, the local and fused steady‐state robust Kalman filters are designed. Finally, a simulation study applied to F404 aircraft engine system is provided to examine effectiveness and applicability of the proposed algorithm.