Optimization-Based Design of Bounded-Error Estimators Robust to Missing Data

Abstract Non-asymptotic bounded-error state estimators that provide hard bounds on the estimation error are crucial for safety-critical applications. This paper proposes a class of optimal bounded-error affine estimators to achieve a novel property we are calling Equalized Recovery that can be computed by leveraging ideas from the dual problem of affine finite horizon optimal control design. In particular, by using Q-parametrization, the estimator design problem is reduced to a convex optimization problem. An extension of this estimator to handle missing data (e.g., due to package drops or sensor glitches) is also proposed. These ideas are illustrated with a numerical example motivated by vehicle safety systems.