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

DOI10.1109/9.256343zbMath0769.90087OpenAlexW2000466232MaRDI QIDQ3994096

Uri Shaked, Isaac Yaesh

Publication date: 13 August 1992

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.256343

zbMATH Keywords

Riccati equationstochastic differential gamesaddle-point equilibrium\(H^ \infty\)-optimal estimatorfinite-dimensional linear control systemfinite-time optimal state estimation

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Estimation and detection in stochastic control theory (93E10) (H^infty)-control (93B36) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Control/observation systems governed by ordinary differential equations (93C15) Probabilistic games; gambling (91A60)

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