Robust finite horizon minimax filtering for discrete-time stochastic uncertain systems

DOI10.1016/j.sysconle.2003.11.004zbMath1157.93531OpenAlexW2129332990MaRDI QIDQ2503609

Myung-Gon Yoon, Ian R. Petersen, Valery A. Ugrinovskii

Publication date: 21 September 2006

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2003.11.004

zbMATH Keywords

Kalman filterRobust filtering\(H_{\infty }\) filterRisk-sensitive control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) (H^infty)-control (93B36) Least squares and related methods for stochastic control systems (93E24) Discrete event control/observation systems (93C65) Existence of solutions for minimax problems (49J35)

Related Items (6)

Robust fixed-lag smoothing under model perturbations ⋮ Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems ⋮ Probability-guaranteed \(H_\infty\) finite-horizon filtering for a class of nonlinear time-varying systems with sensor saturations ⋮ Adaptive divided difference filtering for simultaneous state and parameter estimation ⋮ Event-triggered minimax state estimation with a relative entropy constraint ⋮ In between the \(LQG/H_2\)- and \(H_{\infty } \)-control theories

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