ELLIPSOIDAL FILTERING PROBLEM FOR A STATE OF A SINGULARLY PERTURBED INFINITE-DIMENSIONAL SYSTEM

摘要

The ellipsoidal filtering problem (Ovseevich et al., 1984) is considered for a state of a singularly perturbed infinite-dimensional dynamic system over discontinuous observations (Orlov and Basin, 1995). The ellipsoidal filtering equations with a measure are obtained for singularly perturbed ellipsoid parameters in the initial problem and for slow variables (Kokotovic et al., 1986) which are zero approximations for singularly perturbed ones. The ellipsoidal filtering problem for mutually dependent heat processes over discontinuous observations is considered as an illustrative exam-pie.