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Stochastic Model Validation and Estimation for Linear Discrete-Time Systems with Partial Prior Information

Bishop, Adrian


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]

CollectionsANU Research Publications
Date published: 2012
Type: Conference paper
Source: IFAC Proceedings Volumes (IFAC-PapersOnline)
DOI: 10.3182/20120829-3-MX-2028.00109


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