Game theory approach to optimal linear estimation in the minimum H/sup infinity /-norm sense

A game theory approach to optimal state estimation is presented. It is found that under certain conditions a min-max estimation is identical to the optimal estimation in the minimum H infinity -norm sense. These conditions are similar to those obtained by M. Mintz (J. Optim. Theory Appl., vol.9, p.99-111, 1972), where the relationship between Kalman filtering and the min-max terminal state estimation has been explored. This new interpretation of H/sub infinity /-optimal state estimation provides insight into the mechanism of H/sub infinity /-optimal filtering.<
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