Title :
Nondefinite least squares and its relation to H∞-minimum error state estimation
Author :
Yaesh, I. ; Shaked, U.
Author_Institution :
Dept. of Electron. Syst., Tel-Aviv Univ., Israel
fDate :
12/1/1991 12:00:00 AM
Abstract :
The problem of recursive nondefinite least-squares state estimation of continuous-time stationary processes is solved, by applying Pontryagin´s maximum principle. A comparison of the derived solution to the result that is obtained for the H∞ -minimum error estimation suggests a new interpretation for the H∞-optimal 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
Keywords :
least squares approximations; maximum principle; state estimation; H∞-minimum error state estimation; H∞-optimal estimation; Pontryagin´s maximum principle; continuous-time stationary processes; l2-norm; recursive nondefinite least-squares state estimation; worst disturbance signal; Calculus; Error analysis; Estimation error; Filtering; Filters; H infinity control; Least squares approximation; Riccati equations; State estimation; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
