Limiting performance of optimal linear filters

DOI10.1016/S0005-1098(98)00144-7MaRDI QIDQ1295082zbMATH OpenFDO

Authors Julio H. Braslavsky, D. Q. Mayne, María M. Seron, P. V. Kokotović

Publication date 5 December 1999

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0005-1098(98)00144-7

zbMATH Keywords

optimal filteringperformance limitssingular perturbations

Mathematics Subject Classification ID

Design techniques (robust design, computer-aided design, etc.) (93B51) Perturbations in control/observation systems (93C73) Filtering in stochastic control theory (93E11)

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• Asymptotic analysis and open-loop solutions of one class of partial cheap control zero-sum differential games with state and control delays
• Suboptimal control of a linear-quadratic-Gaussian (LQG) problem with small noise in observation: singular perturbations approach
• Sensitivity limitations for multivariable linear filtering
• Closed-form solution for a class of continuous-time algebraic Riccati equations

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