The control problem by parameters in the course of the guaranteed state estimation of linear non-stationary systems is considered. It is supposed that unknown disturbances in the system and the observation channel are limited by norm in the space of square integrable functions and the initial state of the system is also unknown. The process of guaranteed state estimation includes the solution of a matrix Riccati equation that contains some parameters, which may be chosen at any instant of time by the first player (an observer) and the second player (an opponent of the observer). The purposes of players are diametrically opposite: the observer aims to minimize diameter of information set at the end of observation process, and the second player on the contrary aims to maximize it. This problem is interpreted as a differential game with two players for the Riccati equation. All the choosing parameters are limited to compact sets in appropriate spaces of matrices. The payoff of the game is interpreted through the Euclidean norm of the inverse Riccati matrix at the end of the process. A specific case of the problem with constant matrices is considered. Methods of minimax optimization, the theory of optimal control, and the theory of differential games are used. Examples are also given.
Two Approaches for Guaranteed State Estimation of Nonlinear Continuous-Time Models