• DocumentCode
    336679
  • Title

    Time-invariant Kalman filtering, a minimax approach

  • Author

    Martins, Nuno C. ; Athans, Michael

  • Author_Institution
    IPS, Setubal, Portugal
  • Volume
    3
  • fYear
    1998
  • fDate
    1998
  • Firstpage
    2896
  • Abstract
    Presents a deduction of the Kalman-filter H2/H∞ constrained optimization. The optimal filter is found by means of a minimax strategy applied to a suitable cost functional. The bound on the H∞ norm of the estimation error, is derived from the eigenvalue structure of the Hamiltonian matrices related with the optimization procedures
  • Keywords
    Kalman filters; eigenvalues and eigenfunctions; filtering theory; matrix algebra; minimax techniques; H∞ norm; Hamiltonian matrices; Kalman-filter H2/H∞ constrained optimization; eigenvalue structure; estimation error; minimax approach; optimal filter; time-invariant Kalman filtering; Constraint optimization; Cost function; Design optimization; Eigenvalues and eigenfunctions; Estimation error; Filtering; Hydrogen; Kalman filters; Minimax techniques; Symmetric matrices;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
  • Conference_Location
    Tampa, FL
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-4394-8
  • Type

    conf

  • DOI
    10.1109/CDC.1998.757916
  • Filename
    757916
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=336679