Title :
On the linearly constrained minimum mean square error estimate
Author_Institution :
Tel Aviv University, Tel Aviv, Israel
fDate :
6/1/1980 12:00:00 AM
Abstract :
It is shown that the minimum mean square error estimate under a linear constraint is a linear sum of the unconstrained estimate and the constraint. This result is derived without further restricting the estimated random variable or the observations.
Keywords :
Adaptive control; Estimation; Hyperstability; Minicomputer applications; Process control; System identification; Filtering; Gain; Lagrangian functions; Marine vehicles; Mean square error methods; Parameter estimation; Random variables; Telegraphy; Telephony;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1980.1102335
