A new formulation of some discrete-time stochastic-parameter state estimation problems (Q1375838): Difference between revisions

The authors deal with the design of a state estimator for linear discrete-time state space models with white stochastic parameters. As an alternative to the conventional minimum variance linear filtering approach, the authors have formulated this problem by using linear matrix inequalities. This approach allows to utilise the efficient numerical schemes proposed for the solution of linear matrix inequalities. Two estimation problems are considered: the design for mean-square bounded estimation error and the design for the mean-square stochastic version of the suboptimal \(H_\infty\) estimator. The basic results are applied to two problems: (i) random delay in the sensor and (ii) uncertain observations.