Title :
Time-invariant Kalman filtering, a minimax approach
Author :
Martins, Nuno C. ; Athans, Michael
Author_Institution :
IPS, Setubal, Portugal
Abstract :
Presents a deduction of the Kalman-filter H2/H∞ constrained optimization. The optimal filter is found by means of a minimax strategy applied to a suitable cost functional. The bound on the H∞ norm of the estimation error, is derived from the eigenvalue structure of the Hamiltonian matrices related with the optimization procedures
Keywords :
Kalman filters; eigenvalues and eigenfunctions; filtering theory; matrix algebra; minimax techniques; H∞ norm; Hamiltonian matrices; Kalman-filter H2/H∞ constrained optimization; eigenvalue structure; estimation error; minimax approach; optimal filter; time-invariant Kalman filtering; Constraint optimization; Cost function; Design optimization; Eigenvalues and eigenfunctions; Estimation error; Filtering; Hydrogen; Kalman filters; Minimax techniques; Symmetric matrices;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.757916
