Recursive dual-linear-programming approach for parameter-uncertainty-interval estimation

The parameter-uncertainty-interval-estimation (PIE) problem is transferred into several dual-linear-programming (DLP) problems, and a recursive DLP algorithm is proposed and applied in PIE. This recursive algorithm is based on a modified dual-simplex method that is specifically developed for solving the DLP problems derived from the PIE problem. Because the scale of the DLP problems is considerably smaller than that of the primal linear-programming problems for solving the PIE problem, the recursive DLP algorithm is computationally efficient and suitable for online-engineering applications. Simulations show the effectiveness of the proposed recursive algorithm.