Title :
Game theory approach to optimal linear state estimation and its relation to the minimum H∞-norm estimation
Author :
Yaesh, I. ; Shaked, U.
Author_Institution :
Dept. of Electron. Syst., Tel-Aviv Univ., Ramat-Aviv, Israel
fDate :
6/1/1992 12:00:00 AM
Abstract :
A possible game theory approach to optimal state estimation is presented. It is found that in a certain differential game, the minimizer´s policy is identical to the one obtained by optimal estimation in the minimum H∞-norm sense. This interpretation of H∞-optimal state estimation provides better insight into the mechanism of H∞ -optimal filtering, especially in the case where the exogenous signals are not energy bounded
Keywords :
game theory; state estimation; H∞-optimal filtering; differential game; minimum H∞-norm estimation; optimal linear state estimation; Ellipsoids; Estimation error; Filtering; Filters; Game theory; Noise measurement; Riccati equations; State estimation; White noise; Yield estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
