Game theory approach to state estimation of linear discrete-time processes and its relation toH∞-optimal estimation

DOI10.1080/00207179208934293zbMath0774.93028MaRDI QIDQ4013286

Uri Shaked, Isaac Yaesh

Publication date: 27 September 1992

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179208934293

zbMATH Keywords

Riccati equation; error covariance matrix; \(H^ \infty\) optimization; linear quadratic game theory

Mathematics Subject Classification ID

91A80: Applications of game theory

93E10: Estimation and detection in stochastic control theory

93B36: (H^infty)-control

Related Items

A cubatureH_∞filter and its square-root version, Cubature \(H_\infty\) information filter and its extensions, Transient and asymptotic analysis of discrete-time \(H_\infty\)-filters, Discrete-time minmax filtering subject to a norm-constrained state estimate, On Pareto set in control and filtering problems under stochastic and deterministic disturbances, \(H_{\infty}\) estimation for fuzzy membership function optimization, Optimal discrete-timeH_∞/γ₀filtering and control under unknown covariances

Cites Work

• On a minimax estimate for the mean of a normal random vector under a generalized quadratic loss function
• State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
• H/sub infinity /-minimum error state estimation of linear stationary processes
• The Kalman filter: A robust estimator for some classes of linear quadratic problems