RT Journal Article
SR 00
ID 10.1080/17442508808833485
A1 Kurzhanski, A.
T1 On stochastic filtering approximations of estimation problems for systems with uncertainty∗
JF Stochastics
YR 1988
FD 1988
VO 23
IS 2
SP 109
OP 130
K1 State estimation, multistage linear system, geometric constraints, convex analysis, Kalman filter
AB 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
PB Taylor and Francis
SN 0090-9491
LK https://pure.iiasa.ac.at/id/eprint/14150/