DocumentCode
3136131
Title
Discrete time invariant linear minimax filtering
Author
Krener, Arthur J. ; Kang, Wei
Author_Institution
Dept. of Appl. Math., Naval Postgrad. Sch., Monterey, CA, USA
fYear
2011
fDate
19-21 Dec. 2011
Firstpage
901
Lastpage
906
Abstract
The problem of filtering a signal from a discrete time invariant linear system with white Gaussian observation and unknown driving noise bounded at each time step is considered. Our goal is to find a linear filter for some linear functional of the state that minimizes over all such filters the maximum over all bounded driving noises the error variance.
Keywords
Gaussian processes; discrete time systems; linear systems; minimax techniques; discrete time invariant linear system; driving noise; error variance; linear filter; minimax filtering; white Gaussian observation noise; Eigenvalues and eigenfunctions; Equations; Finite impulse response filter; Linear systems; Noise; Optimal control;
fLanguage
English
Publisher
ieee
Conference_Titel
Control and Automation (ICCA), 2011 9th IEEE International Conference on
Conference_Location
Santiago
ISSN
1948-3449
Print_ISBN
978-1-4577-1475-7
Type
conf
DOI
10.1109/ICCA.2011.6137885
Filename
6137885
Link To Document