A Square–Root Algorithm for Set Theoretic State Estimation

This paper presents a modified set theoretic framework for estimating the state of a linear dynamic system based on uncertain measurements. The measurement errors are assumed to be unknown but bounded by ellipsoidal sets. Based on this assumption, a recursive state estimator is (re–)derived in a tutorial fashion. It comprises both the prediction step (time update), i.e., propagation of a set of feasible states by means of the system model and the filter step (measurement update), i.e., inclusion of a new measurement into the current estimate. The main contribution is an efficient square–root formulation of this estimator, which is well suited especially for practical applications.