Linear Minimax Filtering of a Stationary Random Process under the Condition of the Interval Fuzziness in the State Matrix of the System with a Restricted Variance

Abstract

The equations for the transition functions of optimal minimax filters are derived under the condition of the interval fuzziness of the linear dynamic system with the parametric uncertain assignment of only the state matrix in the context of Hurwitz stability. The method by which the required filter is synthesized as the suboptimal minimax filter of the stable and unstable first-order systems with the given degree of stability is discussed.