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

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

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∞-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-optimal state estimation provides insight into the mechanism of H-optimal filtering

Published in:

Decision and Control, 1989., Proceedings of the 28th IEEE Conference on

Date of Conference:

13-15 Dec 1989