Abstract
The paper is devoted to guaranteed estimation of state for dynamic systems subject to external disturbances in the presence of observation errors. It is assumed that both external disturbances and observation errors are unknown but bounded vector functions of time. Method of guaranteed estimation of state is developed which is based on optimal (in the sense of volume) ellipsoidal approximation of the set of possible state vectors. Cases of discrete and continuous observations are considered. Finite-difference and differential equations of guaranteed filtering are obtained which describe the evolution of the estimating ellipsoid. Numerical results of computer simulation of guaranteed filtering are presented.
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