Game theory approach to optimal linear state estimation and itsrelation to the minimum H∞-normestimation |
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| Authors: | Yaesh I. Shaked U. |
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| Affiliation: | Dept. of Electron. Syst., Tel-Aviv Univ., Ramat-Aviv; |
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| Abstract: | A possible game theory approach to optimal state estimation is presented. It is found that in a certain differential game, the minimizer's policy is identical to the one obtained by optimal estimation in the minimum H∞-norm sense. This interpretation of H∞-optimal state estimation provides better insight into the mechanism of H∞ -optimal filtering, especially in the case where the exogenous signals are not energy bounded |
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