TY - JOUR
T1 - A dynamic game approach to mixed H∞/H2 estimation
AU - Theodor, Y.
AU - Shaked, U.
PY - 1996
Y1 - 1996
N2 - A deterministic, two-person, zero-sum, linear quadratic estimation game, which is closely related to the mixed ℋ∞/ℋ2 estimation problem, is introduced. The strategy of the estimator in this game must guarantee a prescribed H∞-performance level γ. If the desired H∞-performance level is not achieved by an H2-optimal estimator, the H2-performance of the estimator must be degraded. An optimal estimator, in the sense of this game, minimizes the ratio between the resulting H2-performance degradation, and the performance degradation that would have been obtained if one had used the standard H∞-central filter. Both the continuous and the discrete-time cases are treated.
AB - A deterministic, two-person, zero-sum, linear quadratic estimation game, which is closely related to the mixed ℋ∞/ℋ2 estimation problem, is introduced. The strategy of the estimator in this game must guarantee a prescribed H∞-performance level γ. If the desired H∞-performance level is not achieved by an H2-optimal estimator, the H2-performance of the estimator must be degraded. An optimal estimator, in the sense of this game, minimizes the ratio between the resulting H2-performance degradation, and the performance degradation that would have been obtained if one had used the standard H∞-central filter. Both the continuous and the discrete-time cases are treated.
KW - Game theory
KW - Mixed H/H
KW - Optimal filtering
UR - http://www.scopus.com/inward/record.url?scp=0030146294&partnerID=8YFLogxK
U2 - 10.1002/(SICI)1099-1239(199605)6:4<331::AID-RNC236>3.0.CO;2-9
DO - 10.1002/(SICI)1099-1239(199605)6:4<331::AID-RNC236>3.0.CO;2-9
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:0030146294
SN - 1049-8923
VL - 6
SP - 331
EP - 345
JO - International Journal of Robust and Nonlinear Control
JF - International Journal of Robust and Nonlinear Control
IS - 4
ER -