On the Lagrange duality of stochastic and deterministic minimax control and filtering problems

DOI10.1134/s0005117923020066zbMath1521.93194OpenAlexW4385844237MaRDI QIDQ6094348

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Publication date: 13 September 2023

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117923020066

zbMATH Keywords

linear matrix inequalitiesKalman filterLagrange dualitystochastic minimax controlgeneralized \(H_\infty \)-optimal control and filteringgeneralized \(H_2\)-optimal control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) (H^infty)-control (93B36) Existence of solutions for minimax problems (49J35) Duality theory (optimization) (49N15)

Cites Work

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