Development of the guaranteed estimation robust algorithm of linear controlled system states

Abstract

Ellipsoidal approximation of the ellipsoid and hyperlayer crossing has been considered as a basis of the algorithm of states estimation of the linear controlled system whose set of possible states is represented with an ellipsoid, and observations – with a hyperlayer. This representation is considered as an analogue of Kalman filter. The conditions of a priori system state and a posteriori measurement information compatibility and sensitivity of the algorithm to a choice of its parameters have been investigated. Dependence of the system state estimate improvement on a relative width of the hyperlayer of a set of observations has been shown. The obtained algorithm in comparison with the known solutions at minor degradation of accuracy is much easier in realization and stabler in operation from the standpoint of prior guesses violation.