Nondefinite Least Squares and its Relation to H-Minimum Error State Estimation

I. Yaesh, U. Shaked

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)1469-1472
Number of pages4
JournalIEEE Transactions on Automatic Control
Volume36
Issue number12
DOIs
StatePublished - Dec 1991

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