Estimation of State and Parameters of Dynamic System with the Use of Ellipsoids at the Lack of a Priori Information on Estimated Quantities

Abstract

We consider the problem of the state estimation of linear dynamic system and the problem of simultaneous estimation of states and parameters of the SISO linear dynamic system in a framework of the set-theoretic approach. The modified method of ellipsoids, proposed and analyzed by the author earlier while solving the problem of the linear regression parameters estimation, was used for the estimation. Properties of the proposed estimation algorithms are illustrated by numerical examples.