Minimax state estimation for linear discrete-time differential-algebraic equations

DOI10.1016/J.AUTOMATICA.2010.06.040zbMATH Open1218.93098OpenAlexW2058072983MaRDI QIDQ620581FDOQ620581

Authors: Sergiy M. Zhuk 

Publication date: 19 January 2011

Published in: Automatica (Search for Journal in Brave)

Abstract: This paper presents a state estimation approach for an uncertain linear equation with a non-invertible operator in Hilbert space. The approach addresses linear equations with uncertain deterministic input and noise in the measurements, which belong to a given convex closed bounded set. A new notion of a minimax observable subspace is introduced. By means of the presented approach, new equations describing the dynamics of a minimax recursive estimator for discrete-time non-causal differential-algebraic equations (DAEs) are presented. For the case of regular DAEs it is proved that the estimator's equation coincides with the equation describing the seminal Kalman filter. The properties of the estimator are illustrated by a numerical example.

Full work available at URL: https://arxiv.org/abs/0807.2769

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zbMATH Keywords

minimaxrobust estimationdescriptor systemsset-membership estimationoptimization under uncertainties

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Control/observation systems in abstract spaces (93C25)

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Cited In (11)

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• Flip bifurcation and Neimark-Sacker bifurcation in a discrete predator-prey model with harvesting
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• Kalman duality principle for a class of ill-posed minimax control problems with linear differential-algebraic constraints
• Data Assimilation for Linear Parabolic Equations: Minimax Projection Method
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• Worst-case multi-objective error estimation and adaptivity
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• Minimax state estimates for abstract Neumann problems
• Bifurcation and chaotic behavior of a discrete singular biological economic system

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