10 Robust Reduced Order Filtering

Abstract

In this chapter we shall address topics dealing with adding robustness to the design of reduced order filters. We will show how one can treat a broad range of noise or disturbance terms characterized as having bounded energy, rather than as having white noise characteristics. For such additive arbitrary disturbances, we show how to guarantee a bound on the ratio of the energy in the error to the energy in the disturbances. In [1], a rigorous derivation of the results contained here was developed. We will present here, a derivation based on game theory which more closely corresponds to the calculus of variations approach taken throughout this text, and follows the method suggested by Banavar and Speyer [2].

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