LMI-based minimax estimation and filtering under unknown covariances
DOI10.1080/00207179.2013.873543zbMATH Open1291.93297OpenAlexW1971763119MaRDI QIDQ5494533FDOQ5494533
Authors: M. M. Kogan 
Publication date: 28 July 2014
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2013.873543
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- Methods for minimax estimation under elementwise covariance uncertainty
Kalman filterestimationfilteringlinear matrix inequalityminimax approachrobust filterrobust estimatorunknown covariance
Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)
Cites Work
- Filtering and smoothing in an H/sup infinity / setting
- A framework for state-space estimation with uncertain models
- Design and analysis of discrete-time robust Kalman filters
- Minimax state estimation for linear stochastic systems with noise uncertainty
- Optimal guaranteed cost filtering for uncertain discrete-time linear systems
- Robust Finite-Horizon Kalman Filtering for Uncertain Discrete-Time Systems
- $H_\infty $ Control with Transients
- Revisited LQ output-feedback control: minimax controller for a set of initial states
- Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices
- Solution to the inverse problem of minimax control and worst case disturbance for linear continuous-time systems
Cited In (7)
- Optimal discrete-time \(H_\infty/\gamma_{0}\) filtering and control under unknown covariances
- Robust estimation and filtering in uncertain linear systems under unknown covariations
- Suboptimal anisotropic filtering in a finite horizon
- Optimal estimation and filtration under unknown covariances of random factors
- Design of Pareto-optimal linear quadratic estimates, filters and controllers
- Minimax linear filtering of random sequences with uncertain covariance function
- Methods for minimax estimation under elementwise covariance uncertainty
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