GENERAL APPROACH TO THE ESTIMATION AND CONTROL OF LINEAR SYSTEMS WITH UNCERTAIN STATISTICS.

Sergio Verdu, H. Vincent Poor

Research output: Contribution to conferencePaper

1 Scopus citations

Abstract

The problem of minimax design of linear observers and regulators for linear time-varying multivariable stochastic systems with uncertain models of their second-order statistics is treated. Completely general classes of allowable covariance matrices and means of the process and observation noises and of the random initial condition are considered. A game formulation of the problem is adopted and minimax theorems are shown to hold for each of the filtering situations analyzed. Conditions satisfied by the saddlepoint solutions are derived.

Original languageEnglish (US)
Pages330-335
Number of pages6
StatePublished - Dec 1 1982

All Science Journal Classification (ASJC) codes

  • Engineering(all)

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