Estimation of the disturbance structure from data using semidefinite programming and optimal weighting

DOI10.1016/j.automatica.2008.05.032zbMath1154.93432WikidataQ55969202 ScholiaQ55969202MaRDI QIDQ1000801

James B. Rawlings, Murali R. Rajamani

Publication date: 10 February 2009

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2008.05.032

zbMATH Keywords

state estimation; semidefinite programming; covariance estimation; minimum independent disturbances; minimum variance estimation

Mathematics Subject Classification ID

90C22: Semidefinite programming

93C55: Discrete-time control/observation systems

93E10: Estimation and detection in stochastic control theory

93C05: Linear systems in control theory

93E24: Least squares and related methods for stochastic control systems

Uses Software

• astsa