Robust wiener optimal nonlinear estimation for uncertain systems

A nonlinear operator based approach to robust estimation is introduced for discrete-time systems. It involves a signal entering a communications channel with nonlinearities, transport delay and uncertainties. The measurements are assumed to be corrupted by coloured noise which is correlated with the signal to be estimated. The signal and noise model parameters are assumed to be subject to perturbations represented by random variables with known means and covariances. The theoretical solution does not involve linearization or approximations. In the limiting case of a linear system the estimator has the form of a Wiener filter in discrete-time polynomial matrix system form.