Optimum performance levels for minimax filters, predictors and smoothers

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Pages (from-to)309-317
Number of pages9
JournalSystems and Control Letters
Volume16
Issue number5
DOIs
StatePublished - 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

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