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Robust ε-contaminated filter for discrete-time systems

The robust filtering problem for uncertain discrete-time systems is treated in this paper. An ϵ-contaminated framework is adopted to design the robust filter in presence of model uncertainties. The result is presented in term of Toeplitz matrix equations. The proposed approach does not require a formal modelling of uncertainties. Meanwhile, the ϵ-contaminated robust filter is equivalent to the minimum variance filter with a stochastic representation of the uncertainties. An example shows the effectiveness of the approach.