On minimax identification: method of dual optimization

Author

Pankov, A.R. ; Platonov, E.N. ; Siemenikhin, K.V.

Author_Institution

Inst. of Inf. Transmission Problems, Acad. of Sci., Moscow, Russia

Volume

5

fYear

2000

fDate

2000

Firstpage

4759

Abstract

The problem of minimax affine identification of a linear uncertain stochastic multivariate model is considered. The minimax optimization problem together with the corresponding dual one are stated and examined. The necessary and sufficient conditions for the minimax affine estimate to exist and to be determined analytically via the dual problem solution are given. The algorithm of minimax stochastic estimation for the infinite-dimensional model given a finite number of observations is also considered. The numerical method for minimax estimation is described, and the results of computer modeling are presented

Keywords

duality (mathematics); identification; linear systems; minimax techniques; multivariable systems; stochastic systems; uncertain systems; computer modeling; dual optimization; infinite-dimensional model; linear uncertain stochastic multivariate model; minimax affine identification; minimax optimization; minimax stochastic estimation; necessary and sufficient conditions; Covariance matrix; Gold; Integrated circuit modeling; Minimax techniques; State estimation; Symmetric matrices; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2000. Proceedings of the 39th IEEE Conference on

Conference_Location

Sydney, NSW

ISSN

0191-2216

Print_ISBN

0-7803-6638-7

Type

conf

DOI

10.1109/CDC.2001.914680

Filename

914680