Abstract
The main problems encountered during realization of the robust state estimation schemes for the linear discrete time multivariable systems with non-Gaussian measurement noise are discussed. The min-max solution to this problem is presented in brief and the main results for single output systems are given. Computational schemes for the unconditional and conditional robust recursive estimators based on the min-max approach are presented. The proposed algorithms can be easily implemented in the multi-output case after decomposition of the measurement vector, i.e. resolution of the multivariable case to a set of scalar problems. The parallel and serial decomposition schemes are proposed and discussed. The robust estimation algorithms resulting for the Gaussian-mix model of the measurement noise are developed as an illustration and the proposed simplest remedy for the practical problems which appear if the measurements are corrupted by frequent coarse errors.
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