A COMPARISON PRINCIPLE FOR EQUATIONS OF THE HAMILTON-JACOBI TYPE IN SET-MEMBERSHIP FILTERIN.pdfVIP

c COMMUNICATIONS IN INFORMATION AND SYSTEMS 2006 International Press Vol. 6, No. 3, pp. 179-192, 2006 002 A COMPARISON PRINCIPLE FOR EQUATIONS OF THE HAMILTON-JACOBI TYPE IN SET-MEMBERSHIP FILTERING∗ A. B. KURZHANSKI† AND P. VARAIYA† Abstract. This paper gives comparison principles for first-order PDEs of the Hamilton-Jacobi- Bellman type that arise in the problem of filtering under unknown disturbances with set-membership bounds on the uncertainty. The exact solutions of this problem, given in set-theoretic terms as “infor- mation sets,” are expressed as level sets to the solutions of some specific types of the HJB equation. But these solutions require complicated calculations. This paper presents an alternative approach that avoids exact solutions in favor of their upper and lower bounds, which in many cases may suffice for solving the required problems. For systems with linear structure ellipsoidal estimates are given, which ensure tight approximations of the convex information sets. Key words: Guaranteed estimation, dynamic programming, set-membership uncertainty, reach- ability, information set, information state, HJB equation, comparison principle, ellipsoidal calculus. 1. Introduction. The solution to many problems of state estimation and control synthesis for systems described by ODEs may be reduced to the investigation of first order PDEs of the Hamilton-Jacobi-Bellman (HJB) type and their modifications. HJB equations may also be used to calculate forward and backward reachability sets for control systems without disturbances, and the HJBI (HJB-Isaacs) equation may be used for systems with unknown but bounded disturbances [1, 2, 3, 4, 5, 6, 7].