A comparison of classical stochastic estimation and deterministic robust estimation
- 1 July 1992
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 37 (7) , 994-1000
- https://doi.org/10.1109/9.148356
Abstract
The formulation and solution of two linear parameter estimation problems are compared. The basic distinction in the problem formulation is the nature of the uncertainty. In one case, the uncertainty is generated by white Gaussian noise, and the solution is the Kalman filter. In the other case, the uncertainty is unmodeled dynamics in the unit ball in H/sup infinity / or its nonlinear cover, and the particular solution studied is a deterministic robust estimator. Certain parallels between classical stochastic estimation (Kalman filtering) and the deterministic robust estimation are examined. The similarities and differences are discussed in geometric terms, in philosophical terms, and in terms of the estimator's recursive implementation.Keywords
This publication has 10 references indexed in Scilit:
- Identification of Systems with Parametric and Nonparametric UncertaintyPublished by Institute of Electrical and Electronics Engineers (IEEE) ,1990
- Quantification of Uncertainty in EstimationPublished by Institute of Electrical and Electronics Engineers (IEEE) ,1990
- Parameter identification in the presence of non-parametric dynamic uncertaintyAutomatica, 1990
- Robust parameter adjustment with nonparametric weighted-ball-in-H/sup infinity / uncertaintyIEEE Transactions on Automatic Control, 1990
- Identification in H ∞ : A Robustly Convergent Nonlinear AlgorithmPublished by Springer Nature ,1990
- Identification with nonparametric uncertaintyPublished by Institute of Electrical and Electronics Engineers (IEEE) ,1990
- Model Invalidation: A Connection between Robust Control and IdentificationPublished by Institute of Electrical and Electronics Engineers (IEEE) ,1989
- On the value of information in system identification—Bounded noise caseAutomatica, 1982
- Continuous-time state estimation under disturbances bounded by convex setsIEEE Transactions on Automatic Control, 1972
- Recursive state estimation: Unknown but bounded errors and system inputsIEEE Transactions on Automatic Control, 1968