Abstract
We present a simple and universal observer-based approach to solving the problem of robust filtering of unknown-but-bounded exogenous disturbances. The heart of this approach is the method of invariant ellipsoids. Application of this technique allows for a reformulation of the original problem in terms of linear matrix inequalities with reduction to semidefinite programming and one-dimensional optimization, which are easy to solve numerically. Continuous-time and discrete-time cases are studied in equal detail. The efficacy of the approach is demonstrated via the double pendulum example.
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