DocumentCode :
2113378
Title :
Recursive linear estimation in Krein spaces. II. Applications
Author :
Hassibi, Babak ; Sayed, Ali H. ; Kailath, Thomas
Author_Institution :
Inf. Syst. Lab., Stanford Univ., CA, USA
fYear :
1993
fDate :
15-17 Dec 1993
Firstpage :
3495
Abstract :
We show that several applications considered in the context of H -filtering and game theory, risk sensitive control and estimation, follow as special cases of the Krein space Kalman filter. We show that these problems can be cast into the problem of calculating the stationary points of certain second order forms: and that by considering appropriate state space models and error Gramians, we can use the Krein space Kalman filter to recursively compute these stationary points and to study their properties
Keywords :
Kalman filters; filtering and prediction theory; game theory; identification; state-space methods; H-filtering; Krein space Kalman filter; error Gramians; game theory; recursive linear estimation; risk sensitive control; state space models; Contracts; Game theory; Hydrogen; Information systems; Kalman filters; Laboratories; Nonlinear filters; Recursive estimation; Space stations; State-space methods;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
Type :
conf
DOI :
10.1109/CDC.1993.325855
Filename :
325855
Link To Document :
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