On Robust Wiener Filtering

Research output: Contribution to journalArticle

114 Scopus citations

Abstract

A minimax formulation is proposed for the problem of designing robust Wiener filters for the situation of uncertain signal and noise spectra. Several results relating to solutions to this formulation in terms of least-favorable spectral pairs are presented. An analogy is drawn between a particular case of this problem and the problem of robust hypothesis testing, and a result is given concerning the relationship between solutions to these two problems.

Original languageEnglish (US)
Pages (from-to)531-536
Number of pages6
JournalIEEE Transactions on Automatic Control
Volume25
Issue number3
DOIs
StatePublished - Jan 1 1980
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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