Robust Filtering via Semidefinite Programming with Applications to Target Tracking

In this paper we propose a novel finite-horizon, discrete-time, time-varying filtering method based on the robust semidefinite programming (SDP) technique. The proposed method provides robust performance in the presence of norm-bounded parameter uncertainties in the system model. The robust performance of the proposed method is achieved by minimizing an upper bound on the worst-case varianceof the estimation error for all admissible systems. …