Robust filtering for discrete-time systems with bounded noise and parametric uncertainty

@article{Ghaoui2001RobustFF,
  title={Robust filtering for discrete-time systems with bounded noise and parametric uncertainty},
  author={Laurent El Ghaoui and Giuseppe Carlo Calafiore},
  journal={IEEE Trans. Automat. Contr.},
  year={2001},
  volume={46},
  pages={1084-1089}
}
This note presents a new approach to finite-horizon guaranteed state prediction for discrete-time systems affected by bounded noise and unknown-but-bounded parameter uncertainty. Our framework handles possibly nonlinear dependence of the state-space matrices on the uncertain parameters. The main result is that a minimal confidence ellipsoid for the state, consistent with the measured output and the uncertainty description, may be recursively computed in polynomial time, using interior-point… CONTINUE READING

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