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
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;
Conference_Titel :
Control and Automation (ICCA), 2011 9th IEEE International Conference on
Conference_Location :
Santiago
Print_ISBN :
978-1-4577-1475-7
DOI :
10.1109/ICCA.2011.6137885
