An $H_\infty$-parameter estimator and its interpretation

A.A. Stoorvogel; J.H. Schuppen, van

An $H_\infty$-parameter estimator and its interpretation

A.A. Stoorvogel, J.H. Schuppen, van

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Abstract

In this paper we study the $H_\infty$ estimator used in the recently developed $H_\infty$ control theory. We study stochastic interpretations related to a weighted maximum-likelihood and the Kullback-Leibler distance and show the specific modifications compared to the standard Kalman filter. Key Words: Parameter estimation; optimal control; $H_\infty$; stochastic control; LEQG; Maximum likelihood; Kullback-Leibler distance.

Original language	English
Place of Publication	Eindhoven
Publisher	Technische Universiteit Eindhoven
Number of pages	4
Publication status	Published - 1994

Publication series

Name	Memorandum COSOR
Volume	9411
ISSN (Print)	0926-4493

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title = "An $H_\infty$-parameter estimator and its interpretation",

abstract = "In this paper we study the $H_\infty$ estimator used in the recently developed $H_\infty$ control theory. We study stochastic interpretations related to a weighted maximum-likelihood and the Kullback-Leibler distance and show the specific modifications compared to the standard Kalman filter. Key Words: Parameter estimation; optimal control; $H_\infty$; stochastic control; LEQG; Maximum likelihood; Kullback-Leibler distance.",

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AB - In this paper we study the $H_\infty$ estimator used in the recently developed $H_\infty$ control theory. We study stochastic interpretations related to a weighted maximum-likelihood and the Kullback-Leibler distance and show the specific modifications compared to the standard Kalman filter. Key Words: Parameter estimation; optimal control; $H_\infty$; stochastic control; LEQG; Maximum likelihood; Kullback-Leibler distance.

M3 - Report

T3 - Memorandum COSOR

BT - An $H_\infty$-parameter estimator and its interpretation

PB - Technische Universiteit Eindhoven

CY - Eindhoven

ER -

An $H_\infty$-parameter estimator and its interpretation

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