On periodic Kalman filters and multi-rate estimation

This paper proposes a multi-rate state estimation method using a Kalman filter and an H-infinity filter. First, we derive periodic steady state Kalman/H-infinity gains for multi-rate systems since a state estimation problem with multi-rate sensors reduces to that for periodic time-varying systems. This result enables one to compute the optimal Kalman/H-infinity gains off-line using a class of algebraic Riccati equations. Furthermore, the effectiveness of the proposed design method is demonstrated with numerical simulations.