Title :
Kalman-bucy and minimax filtering
Author :
Krener, Arthur J.
Author_Institution :
University of California, Davis, CA, USA
fDate :
4/1/1980 12:00:00 AM
Abstract :
It is shown that the Kalman-Bucy filter is also a minimax filter.
Keywords :
Kalman filtering; Linear systems, time-varying continuous-time; Minimax estimation; Covariance matrix; Differential equations; Feedback; Filtering; Filters; Maximum likelihood estimation; Minimax techniques; Riccati equations; Stochastic processes; Uncertainty;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1980.1102301
