A Comparison of Classical Stochastic Estimation and Deterministic Robust Estimation

This paper compares the formulation and solution of two linear parameter estimation problems. For the first problem, the uncertainty is generated by white Gaussian noise, and the solution is the Kalman filter. For the second problem the uncertainty is unmodeled dynamics in the unit ball in H^¿ or its nonlinear cover, and the particular solution studied here is a deterministic robust estimator which was introduced circa 1987. This paper compares the solutions in geometric terms, in philosophical terms, and in terms of the estimator´s recursive implementation.