Transactions of the Institute of Systems, Control and Information Engineers
Online ISSN : 2185-811X
Print ISSN : 1342-5668
ISSN-L : 1342-5668
Finite-Horizon Minimax Estimation for Linear Discrete-Time Systems
Kiyotsugu TAKABATohru KATAYAMA
Author information
JOURNALS FREE ACCESS

1994 Volume 7 Issue 8 Pages 322-331

Details
Abstract

This paper considers the finite-horizon discrete-time minimax estimation problems related to the H estimation cost. Based on the Lagrange multiplier technique, we show that the minimax estimators are identical to H estimators in both filtering and onestep prediction cases. Moreover, necessary and sufficient conditions for the existence of the minimax estimators are given in terms of an H type Riccati difference equation (RDE) satisfying the positive definiteness of certain matrices. Using the RDE, we compare the minimax estimators with Kalman filter, and investigate the some properties of the minimax estimators. A numerical example is also included to show the applicability of the present minimax estimators.

Information related to the author
© The Institute of Systems, Control and Information Engineers
Previous article Next article
feedback
Top