Robust filtering and fixed-lag smoothing for uncertain discrete-time systems

Robust filtering and fixed-lag smoothing problems for uncertain discrete-time systems are treated in this paper. The problem is set in a λ-contaminated framework that does not required a model for the uncertainties. The results are presented in term of transfer function and in polynomials. The latter representation exhibits two spectral factors and a Diophantine equation in order to obtain the estimator. An example shows the effectiveness of the approach.