Novel blind variants of the OBE algorithm

Set-membership algorithms, including the conventional optimal bounding ellipsoid (OBE) algorithm, require a priori knowledge of exact error bounds which is unknown in most applications. Conservative (over-estimated) error bounds used in practice lead to inconsistent parameter estimation. The novel OBE algorithm with automatic bound estimation (OBE-ABE) is shown to be consistently convergent without a priori knowledge of error bounds, even in correlated-error environments. Computationally efficient variants of this algorithm for both time-invariant and time-varying systems are presented. Simulations are performed to demonstrate the merit of the algorithms