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Game theory approach to optimal linear state estimation and its relation to the minimum H-norm estimation

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2 Author(s)
I. Yaesh ; Dept. of Electron. Syst., Tel-Aviv Univ., Ramat-Aviv, Israel ; U. Shaked

A possible game theory approach to optimal state estimation is presented. It is found that in a certain differential game, the minimizer's policy is identical to the one obtained by optimal estimation in the minimum H-norm sense. This interpretation of H-optimal state estimation provides better insight into the mechanism of H-optimal filtering, especially in the case where the exogenous signals are not energy bounded

Published in:

IEEE Transactions on Automatic Control  (Volume:37 ,  Issue: 6 )