https://pure.iiasa.ac.at/id/eprint/14150 2021-08-27T17:41:44Z info:eu-repo/semantics/descriptiveMetadata https://pure.iiasa.ac.at/id/eprint/14150/ On stochastic filtering approximations of estimation problems for systems with uncertainty∗ Kurzhanski, A. This paper considers estimating the state of a discrete-time linear system in which the values of an unobserved disturbance process are only known to lie in certain prescribed sets. By introducing additional stochastic disturbances it is shown that this problem can be approximated to arbitrarily high accuracy by the solution of a Kalman filtering problem Taylor and Francis 1988 Article PeerReviewed Kurzhanski, A. <https://pure.iiasa.ac.at/view/iiasa/2088.html> (1988). On stochastic filtering approximations of estimation problems for systems with uncertainty∗. Stochastics 23 (2) 109-130. 10.1080/17442508808833485 <https://doi.org/10.1080/17442508808833485>. 10.1080/17442508808833485 10.1080/17442508808833485 10.1080/17442508808833485 info:eu-repo/semantics/humanStartPage