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A distributed receding horizon filtering for discrete-time dynamic systems is proposed. A distributed fusion with the weighted sum structure is applied to the set of local receding horizon Kalman filters (LRHKFs). All LRHKFs have the same receding horizon length. The distributed fusion algorithm represents the optimal linear fusion by weighting matrices under the minimum mean square criterion. In...
A discrete-time robust extended Kalman filter (REKF) formulation for uncertain systems expressed in terms of a set-valued state estimator is described in this paper. The robust filter and Riccati equations are derived as an approximate solution to a reverse-time optimal control problem defining this set-valued state estimator. As presented, the uncertainties are modeled by a sum quadratic constraint...
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