Exact recursive updating of uncertainty sets
Abstract
This paper addresses the classical problem of determining the set of possible states of a linear discrete-time system subject to bounded disturbances from measurements corrupted by bounded noise. These so-called uncertainty sets evolve with time as new measurements become available. We present two theorems which describe completely how they evolve with time, and this yields an efficient algorithm for recursively updating uncertainty sets. Numerical simulations demonstrate performance improvements over existing exact methods.
Cite
@article{arxiv.1612.04918,
title = {Exact recursive updating of uncertainty sets},
author = {Robin Hill and Yousong Luo and Uwe Schwerdtfeger},
journal= {arXiv preprint arXiv:1612.04918},
year = {2017}
}
Comments
16 pages, 9 figures. Two theorems describing the propagation of uncertainty set for discrete-time, time-invariant, single-input-single-output plants are presented. A mistake in the labeling of subscripts in equations (4), (5) and (12) has been corrected