Abstract
Abstract The paper is devoted toguaranteed 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 observati ons 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 gua ranteed filtering are presented.
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