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 language||English (US)|
|Number of pages||6|
|State||Published - Dec 1 1982|
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