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Kalman Filter Design For Interconnected Systems Using The Singular Perturbation Theory

The main objective of this paper is to design a Kalman-Bucy filter for a class of large scale interconnected singularly perturbed systems. Our assumption is that the large scale system consists of several local subsystems interconnected to a main subsystem. Singular perturbation approache has been used to achieve the minimum estimation error for our estimation problem. The theory of singular perturbation is applied to the filtering problems of this class of systems, and the resulting filter is approximately decomposed into two filters in different time scales yielding the estimates of the slow-mode and the fast-mode states.