Nondefinite least squares and its relation to H/sub infinity /-minimum error state estimation

The problem of recursive nondefinite least-squares state estimation of continuous-time stationary processes is solved, by applying Pontryagin's maximum principle. A comparison of the derived solution to the result that is obtained for the H/sub infinity /-minimum error estimation suggests a new interpretation for the H/sub infinity /-optimal estimation mechanism. According to this interpretation, the estimator tries to optimally estimate the required combination of the states, in the l/sub 2/-norm sense, against the worst disturbance signal that stems from a fictitious measurement of this combination.<
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