Abstract
A minimax one-step prediction problem is posed for a linear discrete-time invariant first-order plant. The plant is driven by an unknown bounded forcing function. Several major difficulties encountered in the solution to this problem are discussed and an ad hoc nonlinear recursive predictor is developed as a more easily implemented alternative to the true minimax procedure. A linearized version of this nonlinear ad hoc predictor is shown to be related to the well-known Kalman one-step predictor.
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