Bias-aware Kalman filtering by mixing H2 and H∞ approaches
Résumé
In the present article, an alternative methodology is presented to tackle the filtering problem in presence of unknown bias. The basic idea is to construct an H∞ estimator of the estimation error due to the unknown bias. The bias aware filter can be implemented by means of two filters, namely the standard H2 Kalman filter and the H∞ estimation error estimator. On the other hand, the bias aware filter can also be implemented as a single filter. Depending on user's need, one or the other implementation can be done.