A UD factorization‐based nonlinear adaptive set‐membership filter for ellipsoidal estimation

The extended set‐membership filter (ESMF) for nonlinear ellipsoidal estimation suffers from numerical instability, computation complexity as well as the difficulty in filter parameter selection. In this paper, a UD factorization‐based adaptive set‐membership filter is developed and applied to nonlinear joint estimation of both time‐varying states and parameters. As a result of using the proposed UD factorization, combined with a new sequential and selective measurement update strategy, the numerical stability and real‐time applicability of conventional ESMF are substantially improved. Furthermore, an adaptive selection scheme of the filter parameters is derived to reduce the computation complexity and achieve sub‐optimal estimation. Simulation results have shown the efficiency and robustness of the proposed method. Copyright © 2007 John Wiley & Sons, Ltd.