Abstract
For both discrete and continuous-time linear time-varying systems, we obtain the achievable performance levels for minimax filters, predictors and smoothers, in terms of the finite escape times of some related (discrete and continuous-time) Riccati equations. Our game-theoretic approach also yields an alternative derivation for the corresponding minimax estimators which were first obtained in [1]. They are all Bayes estimators with respect to particular Gaussian distributions, and admit recursive structures.
Original language | English (US) |
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Pages (from-to) | 309-317 |
Number of pages | 9 |
Journal | Systems and Control Letters |
Volume | 16 |
Issue number | 5 |
DOIs | |
State | Published - May 1991 |
Keywords
- H-smoothing
- Kalman filtering and prediction
- Minimax estimation
- zero-sum games
ASJC Scopus subject areas
- Control and Systems Engineering
- General Computer Science
- Mechanical Engineering
- Electrical and Electronic Engineering