Linear estimation in krein spaces .2. Applications

doi:10.1109/9.481606

Linear estimation in krein spaces .2. Applications

1996-01-01

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DOI：10.1109/9.481606

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We show that several interesting problems in H-infinity-filtering, quadratic game theory, and risk sensitive control and estimation follow as special cases of the Krein-space linear estimation theory developed in [1]. We show that all these problems can be cast into the problem of calculating the stationary point of certain second-order forms, and that by considering the appropriate state space models and error Gramians, we can use the Krein-space estimation theory to calculate the stationary points and study their properties, The approach discussed here allows for interesting generalizations, such as finite memory adaptive filtering with varying sliding patterns.

Linear estimation in krein spaces .2. Applications

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