Minimax state estimation for linear stochastic systems with noise uncertainty

DOI10.1109/TAC.1981.1102756zbMATH Open0544.93062OpenAlexW2134330484MaRDI QIDQ3335643FDOQ3335643

H. Vincent Poor, Douglas P. Looze

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1109/tac.1981.1102756

zbMATH Keywords

minimax filtersnoise uncertaintyminimax linear state estimation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Existence of solutions for minimax problems (49J35)

Cited In (37)

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• Robust stability analysis of Kalman-Bucy filter under parametric and noise uncertainties
• Robust estimation and filtering in uncertain linear systems under unknown covariations
• Robust LQG optimal controller design for multivariable discrete saturating systems with noise spectral uncertainties and nonlinear time- varying unmodeled dynamics
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• LMI-based minimax estimation and filtering under unknown covariances
• Robust filtering of process in the stationary difference stochastic system
• Stability robustness of the continuous-time LQG system under plant perturbation and noise uncertainty
• LQG controller synthesis with noise spectral uncertainties and nonlinear time-varying perturbations
• Optimal estimation and filtration under unknown covariances of random factors
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• Robust Kalman filter of continuous-time Markov jump linear systems based on state estimation performance
• Design of Pareto-optimal linear quadratic estimates, filters and controllers
• Robust stability analysis for discrete-time LQG system under finite wordlength effects, noise uncertainties and time-varying structured parameter perturbations
• Minimax estimation in singular uncertain stochastic models
• The guaranteed estimation performance filter for discrete-time descriptor systems with uncertain noise
• Optimal controller design for discrete saturating systems
• Minimax quadratic filtering of uncertain linear stochastic systems with partial fourth-order information
• Robust filtering under stochastic parametric uncertainties
• Guaranteed performance robust Kalman filter for continuous-time Markovian jump nonlinear system with uncertain noise
• LQG controller synthesis with plant and noise spectral uncertainties
• Minimax estimation in uncertain-stochastic linear differential systems
• Quasi-deadbeat minimax filters for deterministic state~space models
• Noncausal minimax linear state estimation for systems with uncertain second-order statistics
• Analysis of algorithms of numerical implementations for the Wonham filter under uncertainty in measurements noise covariance
• Minimax linear estimation in generalized uncertain-stochastic system. II: Minimax filtering in dynamic systems described by stochastic differential equations with measure
• A posteriori minimax estimation with likelihood constraints
• State distributions and minimum relative entropy noise sequences in uncertain stochastic systems: the discrete-time case
• Optimal estimation and control of discrete multiplicative systems with unknown second-order statistics
• Robust LQG optimal controller synthesis against noise spectral uncertainties and nonlinear time-varying unmodeled dynamics
• Filtration of a random process in a statistically uncertain linear stochastic differential system
• State estimation of continuous-time radial basis function networks
• Multi-objective controller design for discrete stochastic optimal systems with non-linear time-varying unmodelled dynamics and noise spectral uncertainties
• Optimal discrete-timeH_∞/γ₀filtering and control under unknown covariances

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