Ellipsoidal Set-Membership Filtering for Discrete-Time Linear Time-Varying Systems

Abstract

This paper studies set-membership estimation for discrete-time linear time-varying systems with unknown-but-bounded uncertainties. An ellipsoidal set-membership filtering method with a new estimator is proposed. Based on the S-procedure, the proposed set-membership filtering is formulated as an optimization problem in terms of linear matrix inequalities. Moreover, it is shown that the optimal ellipsoids estimated by two existing set-membership filtering approaches are equivalent to the optimal estimation results obtained by two special cases of the proposed method, respectively. The proposed estimator has more design parameters which can be effectively optimized to improve the estimation accuracy. Simulation results are given to show the performance of the proposed method.