Game theory approach to state estimation of linear discrete-time processes and its relation to H∞ -optimal estimation

I. Yaesh, U. Shaked

Research output: Contribution to journalArticlepeer-review

Abstract

A game theory approach to the state-estimation of linear discrete-time systems is presented. The resulting state estimation suggests an alternative to the Kalman filter, in cases where the exact statistics of the input and the measurement noise processes is not known. It turns out that the game-theoretic filter provides an H∞-optimal estimation. Moreover, it is shown that the covariance matrix of the estimation error is bounded, from above, by the solution of a modified Riccati equation.

Original languageEnglish
Pages (from-to)1443-1452
Number of pages10
JournalInternational Journal of Control
Volume55
Issue number6
DOIs
StatePublished - Jun 1992

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