Stochastic Model Validation and Estimation for Linear Discrete-Time Systems with Partial Prior Information
The problem of recursive estimation and model validation for linear discrete-time systems with partial prior information is examined. More specifically, an underlying linear discrete-time system is considered where the statistics of the driving noise is assumed to be known only partially; i.e. a class of noise inputs is given from which the underlying actual noise is assumed to be chosen. A set-valued estimator is then derived and the conditional expectation is shown to belong to an ellipsoidal...[Show more]
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