Worst-case parameter estimation with bounded model uncertainties

We formulate and solve a new parameter estimation problem in the presence of bounded model uncertainties. The new method is suitable when a priori bounds on the uncertain data are available, and its solution guarantees that the effect of the uncertainties will never be unnecessarily over-estimated beyond what is reasonably assumed by the a priori bounds. This is in contrast to other methods, such as total least-squares and robust estimation that do not incorporate explicit bounds on the size of the uncertainties. A geometric interpretation of the solution of the new problem is provided, along with a closed form expression for it. We also consider the case in which only selected columns of the coefficient matrix are subject to perturbations.

Published in:
Proceedings of the 1997 American Control Conference, 1, 171-175
Presented at:
1997 American Control Conference, Albuquerque, NM, USA, June 6, 1997

 Record created 2017-12-19, last modified 2018-09-13

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