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Minimax Adaptive Estimation for Finite Sets of Linear Systems

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arxiv 2103.02479 v2 pith:JC7BO3LS submitted 2021-03-03 math.OC

Minimax Adaptive Estimation for Finite Sets of Linear Systems

classification math.OC
keywords estimationestimatorfinitelinearminimaxparameterssystemsuncertain
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For linear time-invariant systems with uncertain parameters belonging to a finite set, we present a purely deterministic approach to multiple-model estimation and propose an algorithm based on the minimax criterion using constrained quadratic programming. The estimator tends to learn the dynamics of the system, and once the uncertain parameters have been sufficiently estimated, the estimator behaves like a standard Kalman filter.

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