A dynamic game approach to mixed H/H2 estimation

Y. Theodor*, U. Shaked

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)331-345
Number of pages15
JournalInternational Journal of Robust and Nonlinear Control
Issue number4
StatePublished - 1996


  • Game theory
  • Mixed H/H
  • Optimal filtering


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