Event-triggered minimax state estimation with a relative entropy constraint

Abstract In this paper, we consider an event-triggered minimax state estimation problem for uncertain systems subject to a relative entropy constraint. This minimax estimation problem is formulated as an equivalent event-triggered linear exponential quadratic Gaussian problem. It is then shown that this problem can be solved via dynamic programming and a newly defined information state. As the solution to this dynamic programming problem is computationally intractable, a one-step event-triggered minimax estimation problem is further formulated and solved, where an a posteriori relative entropy is introduced as a measure of the discrepancy between probability measures. The resulting estimator is shown to evolve in recursive closed-form expressions. For the multi-sensor system scenario, a one-step event-triggered minimax estimator is also presented in a sequential fusion way. Finally, comparative simulation examples are provided to illustrate the performance of the proposed one-step event-triggered minimax estimators.

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