Summary: The subject of the paper is updating of hard bounds on state for a system with a linear, time-invariant model with additive process and observation noise and a deterministic specification of uncertainty in the parameters of the model and the noise variables. The instantaneous values of the uncertain parameters and the noise are individually confined within specified bounds. The basic operations involved in the time and observation updates are examined and the approximations needed to deal with nonlinearity, non-convexity and excessive complication of the bounds are considered.
For the entire collection see [Zbl 0918.00041].