Abstract
The duality between estimation and control is shown to follow from basic duality principles. To do so we formulate the estimation problem in terms of a variational problem and rely on the duality for the convex optimization problem to obtain the associated control problem. The properties of the solution of this problem are exploited to obtain the recursive relations that yield the optimal estimators of a dynamical system.
Supported in part by grants of the Consiglio Nazionale delle Ricerche (CNR-79.00700.01) and the National Science Foundation (ENG-7903731).
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© 1982 The Mathematical Programming Society, Inc.
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Pavon, M., Wets, R.JB. (1982). The duality between estimation and control from a variational viewpoint: The discrete time case. In: Sorensen, D.C., Wets, R.J.B. (eds) Algorithms and Theory in Filtering and Control. Mathematical Programming Studies, vol 18. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0120968
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DOI: https://doi.org/10.1007/BFb0120968
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