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On state estimation for linear discrete-time systems with unknown noise covariances

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2 Author(s)
J. Tugnait ; University of Iowa, Iowa City, IA, USA ; A. Haddad

A combined detection-estimation scheme for the estimation of the state of a linear discrete-time system with unknown noise covariances is considered. It is a heuristic extension of the standard minimax scheme to the case when multiple bounds on the unknown parameters are available. The convergence of the scheme is discussed and an example is considered for illustration.

Published in:

IEEE Transactions on Automatic Control  (Volume:24 ,  Issue: 2 )