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

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

Research output: Book/ReportReportAcademic

26 Downloads (Pure)

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 languageEnglish
Place of PublicationEindhoven
PublisherTechnische Universiteit Eindhoven
Number of pages4
Publication statusPublished - 1994

Publication series

NameMemorandum COSOR
Volume9411
ISSN (Print)0926-4493

Fingerprint Dive into the research topics of 'An $H_\infty$-parameter estimator and its interpretation'. Together they form a unique fingerprint.

Cite this