Recursive State Estimation for Linear Systems with Mixed Stochastic and Set-Bounded Disturbances
Recursive state estimation is considered for discrete time linear systems with mixed process and measurement disturbances that have stochastic and (convex) set-bounded terms. The state estimate is formed as a linear combination of initial guess and measurements, giving an estimation error of the same mixed type (and causing minimal interference between the two kinds of error). An ellipsoidal over-