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The general formulation of the LMS estimator is

(2.38a)

subject to

(2.38b)

(2.38c)

(2.38d)

where the function median(x₁, x₂, …, x_n) computes the median value of set {x₁, x₂, …, x_n}.

Reference [25] proposes a mathematical programming formulation for LMS estimator to be applied to a linear estimator. In this chapter, this formulation is applied to the state estimation problem, and the mathematical programming formulation of LMS estimator is presented below.