An extended set membership filter algorithm based on optimal bounded ellipsoid for nonlinear system with unknown but bounded noises is proposed. The nonlinear state and observation equations are firstly expended in a Taylor series and interval analysis is used to outer-bound the linearization error, it is incorporated to the model noise by ellipsoidal approximations. A two-step prediction-correction procedure is proposed to compute the ellipsoidal feasible set of the estimated states corresponding to the measurement and noise boundary approxima...
