Interval Kalman filtering

The classical Kalman filtering technique is extended to interval linear systems with the same statistical assumptions on noise, for which the classical technique is no longer applicable. Necessary interval analysis, particularly the notion of interval expectation, is reviewed and introduced. The interval Kalman filter (IKF) is then derived, which has the same structure as the classical algorithm, using no additional analysis or computation from such as H/sup /spl infin//-mathematics. A suboptimal IKF is suggested next, for the purpose of real-time implementation. Finally, computer simulations are shown to compare the new interval Kalman filtering algorithm with the classical Kalman filtering scheme and some other existing robust Kalman filtering methods.