UPGRADED OPTIMAL ROBUST MULTIDIMENSIONAL FILTERING OF STATIONARY RANDOM USEFUL SIGNALS

H2 Optimal Robust Filtering

Optimal Segmentation Techniques for Piecewise Stationary Signals

v Acknowledgements vii

Robust H∞ Filtering of Stationary Discrete-Time Linear Systems

The problem of H∞ filtering of stationary discrete-time linear systems with stochastic uncertainties in the state space matrices is addressed, where the uncertainties are modeled as white noise. The relevant cost function is the expected value of the standard H∞ performance index with respect to the uncertain parameters. A previously developed stochastic bounded real lemma is applied which resu...

Change Detection and Non Stationary Signals Tracking by Adaptive Filtering

In this paper we consider the problem of change detection and non stationary signals tracking. Using parametric estimation of signals based on least square lattice adaptive filters we consider for change detection statistical parametric methods using likelihood ratio and hypothesis tests. In order to track signals dynamics, we introduce a compensation procedure in the adaptive estimation. This ...

Robust Filtering for Random Sensor Delay Systems

In this paper, we consider the robust filtering problem for discrete time-varying systems with sensor delayed measurement subject to norm-bounded parameter uncertainties. The sensor delayed measurement is assumed to be a linear function of a stochastic variable that satisfies Bernoulli random binary distribution. An upper bound for the actual covariance of uncertain stochastic parameter system ...