Design of minimax linear filters based on local and integral criteria

MaRDI QIDQ1115401zbMATH OpenFDO

Authors G. A. Golubev

Publication date 1988

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

continuous-time linear filteringminimax linear filtering

Mathematics Subject Classification ID

Existence of solutions for minimax problems (49J35) Linear systems in control theory (93C05) Filtering in stochastic control theory (93E11)

Review text

The paper deals with a continuous-time linear filtering problem relative to a model for which only upper bounds of the variances of the disturbances are provided. The problem is formulated as a minimax linear filtering problem using both local and integral performance criteria. The solution to the local problem is obtained in the form of a Cauchy problem. Comparisons are made with the solution to the problem based on the integral criterion.

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