Abstract
The problem of recursive nondefinite least squares state estimation of continuous-time stationary processes is solved, by applying variational calculus. A comparison of the derived solution to the result that is obtained for the H-minimum error estimation suggests a new interpretation for the Hoptimal estimation mechanism. According to this interpretation, the estimator tries to optimally estimate the required combination of the states, in the l2-norm sense, against the worst disturbance signal that stems from a fictitious measurement of this combination.
| Original language | English |
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| Pages (from-to) | 1469-1472 |
| Number of pages | 4 |
| Journal | IEEE Transactions on Automatic Control |
| Volume | 36 |
| Issue number | 12 |
| DOIs | |
| State | Published - Dec 1991 |