Computationally efficient algorithms for state estimation with ellipsoidal approximations

Computationally efficient algorithms for computing minimal‐volume ellipsoidal bounds on the state of a linear, discrete‐time dynamical system are presented. Ellipsoidally bounded noise is considered, rather than the scalar‐noise case usually treated; the latter is covered as a degenerate special case of the former. The algorithms have differing accuracy and computational requirements, resulting from differing specifications of the bounds. The paper compares these alternative approaches to computing ellipsoidal bounds on state, giving simulation results to illustrate the performance of the algorithms. Copyright © 2002 John Wiley & Sons, Ltd.