1. A system for actively estimating a true state of a system comprising: one or more radar systems for obtaining sensor measurements relating to an object being tracked; one or more data storage devices for storing the sensor measurements; one or more computer processors in communication with the one or more data storage devices; a memory storing program instructions which, when executed by the one or more computer processors, cause the one or more computer processors to: initialize a system having state variables and also having unknown, multidimensional, arbitrarily time-varying parameters, but which are subject to known bounded values; receive measurements from one or more radar systems corresponding to the object to be tracked; apply the measurements to an estimating filter that explicitly uses a mean square optimization criterion that separately accounts for measurement errors and bounded values, to produce estimates of the true state of the system; determine whether a regime change has occurred based on the estimates of the true state of the system; responsive to a positive determination that the regime change has occurred: determine updated known bounded values; and update the known bounded values of the system with the updated known bounded values before applying subsequent measurements to the estimating filter.