Minimax linear filtering of dynamic discrete-time processes

zbMATH Open0549.93058MaRDI QIDQ800281FDOQ800281

Authors: G. A. Golubev 

Publication date: 1984

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

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zbMATH Keywords

incomplete informationsaddle pointminimax linear filtering

Mathematics Subject Classification ID

Multivariate analysis (62H99) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Applications of game theory (91A80) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55)

Cited In (17)

• On minmax filtering over discrete-continuous observations
• Design of minimax linear filters based on local and integral criteria
• Minimax linear filtering of random sequences with uncertain covariance function
• Robust linear filtering for multivariable stationary time series
• A game theoretic approach to robust filtering
• Minimax terminal linear control of a linear dynamic system with discrete time when there is incomplete information on the perturbing processes
• Approximate linear minimum variance filters for continuous-discrete state space models: convergence and practical adaptive algorithms
• Quasi-deadbeat minimax filters for deterministic state~space models
• Robust filtering and prediction for linear systems with uncertain dynamics: A game-theoretic approach
• Linear recursive filtering of discrete-time dynamic processes with partial information about the disturbances
• Minimax FIR smoothers for deterministic continuous-time state space models
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• Minimal dimensional linear filters for discrete-time Markov processes with finite state space
• Optimal estimation and control of discrete multiplicative systems with unknown second-order statistics
• Nonminimax filtering in unknown irregular constrained observation noise

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