Estimation Variance and H∞-Error Minimization of Stationary Processes with Perfect Measurements

U. Shaked; I. Yaesh

doi:10.1109/9.50343

Estimation Variance and H∞-Error Minimization of Stationary Processes with Perfect Measurements

U. Shaked, I. Yaesh

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

The singular estimation problem of linear continuous-time stationary processes is solved both in the minimum error variance and the minimum H∞ -norm sense. Simple explicit expressions for the resulting estimators and their corresponding minimum criteria are derived in terms of the system structure parameters. These expressions enable an easy comparison between the two minimization procedures.

Original language	English
Pages (from-to)	310-314
Number of pages	5
Journal	IEEE Transactions on Automatic Control
Volume	35
Issue number	3
DOIs	https://doi.org/10.1109/9.50343
State	Published - Mar 1990
Externally published	Yes

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abstract = "The singular estimation problem of linear continuous-time stationary processes is solved both in the minimum error variance and the minimum H∞ -norm sense. Simple explicit expressions for the resulting estimators and their corresponding minimum criteria are derived in terms of the system structure parameters. These expressions enable an easy comparison between the two minimization procedures.",

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Estimation Variance and H∞-Error Minimization of Stationary Processes with Perfect Measurements

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