Time-invariant Kalman filtering, a minimax approach

Presents a deduction of the Kalman-filter H/sub 2//H/sub /spl infin// constrained optimization. The optimal filter is found by means of a minimax strategy applied to a suitable cost functional. The bound on the H/sub /spl infin// norm of the estimation error, is derived from the eigenvalue structure of the Hamiltonian matrices related with the optimization procedures.