Abstract:
We propose a new approach to filtering under arbitrary bounded exogenous disturbances based on reducing this problem to an optimization problem. The approach has a low
computational complexity since only Lyapunov equations are solved at each iteration. At the
same time, it possesses advantages essential from an engineering-practical point of view, namely,
the possibilities to limit the filter matrix and to construct optimal filter matrices separately for
each coordinate of the system’s state vector. A gradient method for finding the filter matrix
is presented. According to the examples, the proposed recurrence procedure is rather effective
and yields quite satisfactory results. This paper continues the series of research works devoted
to feedback control design from an optimization perspective.