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A new type of estimator that incorporates optimal control and outputs a control policy is developed and analyzed in this study. The estimator is developed in a similar manner to a Kalman Algorithm with an almost identical form, but has additional properties for more accurate tracking, maneuver detection, and maneuver reconstruction. Unlike the Kalman Algorithm, this estimator frees up the initial...
A discrete-time robust extended Kalman filter (REKF) formulation for uncertain systems expressed in terms of a set-valued state estimator is described in this paper. The robust filter and Riccati equations are derived as an approximate solution to a reverse-time optimal control problem defining this set-valued state estimator. As presented, the uncertainties are modeled by a sum quadratic constraint...
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