Robust filtering for uncertain systems

The output estimation problem for uncertain discrete time systems is treate d in this paper. The method adopted is related to the minimax theory accord ing to the use of the "mu -contaminated" model. The optimal filter is obtai ned through the minimization of a penalized estimation error sensitivity cr iterion. Numerical examples illustrate the robustness of the filter. (C) 20 01 Elsevier Science B.V. All rights reserved.