A new formulation of some discrete-time stochastic-parameter state estimation problems
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.
- Optimal estimation of linear discrete-time systems with stochastic parameters
- Robust \(H_{\infty}\) estimation of stationary discrete-time linear processes with stochastic uncertainties
- Quadratic estimation problem in discrete-time stochastic systems with random parameter matrices
- scientific article; zbMATH DE number 837750
- Linear unbiased state estimation under randomly varying bounded sensor delay
- A Stochastic Regulator for Integrated Communication and Control Systems: Part II—Numerical Analysis and Simulation
- scientific article; zbMATH DE number 837750 (Why is no real title available?)
- Linear Matrix Inequalities in System and Control Theory
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- Recursive estimation of discrete-time signals from nonlinear randomly delayed observations
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