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

DOI10.1080/00207179208934293MaRDI QIDQ4013286zbMATH OpenOpenAlexFDO

Authors I. Yaesh, U. Shaked

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

\(H^ \infty\) optimizationerror covariance matrixlinear quadratic game theoryRiccati equation

Mathematics Subject Classification ID

Applications of game theory (91A80) (H^infty)-control (93B36) Estimation and detection in stochastic control theory (93E10)

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Cites work

• H/sub infinity /-minimum error state estimation of linear stationary processes
• 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
• The Kalman filter: A robust estimator for some classes of linear quadratic problems

Cited in

(15)

• 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-time \(H_\infty/\gamma_{0}\) filtering and control under unknown covariances
• Game theory approach to finite-time horizon optimal estimation
• Cubature H_ information filter and its extensions
• Game theory approach to optimal linear state estimation and its relation to the minimum H/sub infinity /-norm estimation
• scientific article; zbMATH DE number 475385 (Why is no real title available?)
• Game theory approach to H/sub ∞/-optimal discrete-time fixed-point and fixed-lag smoothing
• A game theory approach to constrained minimax state estimation
• A dynamic game approach to mixedH∞/H2 estimation
• Hybrid Estimation of State and Input for Linear Discrete Time-varying Systems: A Game Theory Approach
• A cubatureH_∞filter and its square-root version
• Game theory approach to state and input simultaneous estimation for discrete-time LTV systems

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