Optimization approach to guaranteed state estimation of dynamic systems

DOI10.1023/A:1009480823460MaRDI QIDQ5942031zbMATH OpenOpenAlexFDO

Authors G. M. Bakan

Publication date 2000

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009480823460

zbMATH Keywords

Bayes FormulaBellman-type functional equationleast-squares methodset-theoretic guaranteed estimatesstate estimation

Mathematics Subject Classification ID

Stochastic programming (90C15) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

Review text

In previous papers of the author, a close connection between algorithms of optimal point estimation (e.g. the least-squares method) and set-theoretic guaranteed estimates is established as applied to problems of dynamic system state estimation. Here these studies are generalized to a wider class of observed dynamic processes. For the purpose of solving the guaranteed-estimation problem, a non-stochastic analog of the Bayes formula is applied. The basic result of the paper is that a Bellman-type functional equation indicating a constructive path of solving the problem is put into correspondence with the Bayesian set-theoretic algorithm.

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• On some estimation problems for nonlinear dynamic systems
• Guaranteed dynamic-system state estimation by the method of bidirectional dynamic programming

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