Abstract
In the previous two chapters, in the development of the solutions to the disturbance attenuation problem with imperfect measurements in continuous and discrete time, we have encountered filter equations which resemble the standard Kalman filter when the weighting on the state in the cost function (i.e., Q) is set equal to zero. In this chapter we study such problems, independently of the analysis of the previous chapters, and show that the appearance of the Kalman filter is actually not a coincidence. The commonality of the analysis of this chapter with those of the previous ones is again the use of game-theoretic techniques.
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© 1991 Springer Science+Business Media New York
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Başar, T., Bernhard, P. (1991). Performance Levels For Minimax Estimators. In: H∞-Optimal Control and Related. Systems & Control: Foundations & Applications. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4899-3561-8_7
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DOI: https://doi.org/10.1007/978-1-4899-3561-8_7
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4899-3563-2
Online ISBN: 978-1-4899-3561-8
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