Title :
On minimax identification: method of dual optimization
Author :
Pankov, A.R. ; Platonov, E.N. ; Siemenikhin, K.V.
Author_Institution :
Inst. of Inf. Transmission Problems, Acad. of Sci., Moscow, Russia
Abstract :
The problem of minimax affine identification of a linear uncertain stochastic multivariate model is considered. The minimax optimization problem together with the corresponding dual one are stated and examined. The necessary and sufficient conditions for the minimax affine estimate to exist and to be determined analytically via the dual problem solution are given. The algorithm of minimax stochastic estimation for the infinite-dimensional model given a finite number of observations is also considered. The numerical method for minimax estimation is described, and the results of computer modeling are presented
Keywords :
duality (mathematics); identification; linear systems; minimax techniques; multivariable systems; stochastic systems; uncertain systems; computer modeling; dual optimization; infinite-dimensional model; linear uncertain stochastic multivariate model; minimax affine identification; minimax optimization; minimax stochastic estimation; necessary and sufficient conditions; Covariance matrix; Gold; Integrated circuit modeling; Minimax techniques; State estimation; Symmetric matrices; Uncertainty;
Conference_Titel :
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location :
Sydney, NSW
Print_ISBN :
0-7803-6638-7
DOI :
10.1109/CDC.2001.914680
