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

DOI10.1080/00207179208934293zbMATH Open0774.93028OpenAlexW1997618097MaRDI QIDQ4013286FDOQ4013286

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

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zbMATH Keywords

Riccati equationerror covariance matrix\(H^ \infty\) optimizationlinear quadratic game theory

Mathematics Subject Classification ID

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

Cites Work

• 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
• 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

Cited In (13)

• \(H_{\infty}\) estimation for fuzzy membership function optimization
• Title not available (Why is that?)
• On Pareto set in control and filtering problems under stochastic and deterministic disturbances
• Cubature \(H_\infty\) information filter and its extensions
• A cubatureH_∞filter and its square-root version
• A game theory approach to constrained minimax state estimation
• Discrete-time minmax filtering subject to a norm-constrained state estimate
• A dynamic game approach to mixedH∞/H2 estimation
• Game theory approach to finite-time horizon optimal estimation
• Hybrid Estimation of State and Input for Linear Discrete Time-varying Systems: A Game Theory Approach
• Transient and asymptotic analysis of discrete-time \(H_\infty\)-filters
• Game theory approach to H/sub ∞/-optimal discrete-time fixed-point and fixed-lag smoothing
• Optimal discrete-timeH_∞/γ₀filtering and control under unknown covariances

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