Set Membership Estimation with a Separate Restriction on Initial State and Disturbances

Abstract

We consider a set membership estimation problem for linear non-stationary systems for which initial states belong to a compact set and uncertain disturbances in an observation equation are integrally restricted. We prove that the exact information set of the system can be approximated by a set of external ellipsoids in the absence of disturbances in the dynamic equation. There are three examples of linear systems. Two examples illustrate the main theorem of the paper, the latter one shows the possibility of generalizing the theorem to the case with disturbances in the dynamic equation.