The extended H/sub /spl infin// filter-a robust EKF

Abstract

The use of the extended Kalman filter (EKF) is heavily entrenched in non-linear signal processing applications. However linearisation errors inherent in the specification of an EKF can severely degrade its performance. The paper presents a new approach to the robustification of the EKF by application of robust linear design methods based on the H/sub /spl infin// norm minimisation criterion. The results of simulations are presented to demonstrate an advantage for the demodulation of frequency and phase modulated signals.<>